Cut the zucchini into half slices and the bell pepper into strips. Heat a grill pan over high heat with a little of the olive oil and grill the vegetables for a few minutes until they have nice grill marks and are just tender.
Let the cooked lentils drain well and place them in a large bowl. Finely chop the red onion and mix it with the lentils and grilled vegetables.
Whisk the remaining olive oil with the red wine vinegar, salt and pepper to make a dressing and fold it through the salad. Crumble the feta over top and finish with roughly chopped parsley. Serve warm or at room temperature.