Preheat oven to 250º.
To prepare lamb, unroll the roast. Combine cheese, chopped thyme, and rind; spread over roast. Drizzle with 2 teaspoons juice. Reroll roast; secure at 1-inch intervals with twine. Place 10 thyme sprigs in the bottom of a shallow 2-quart baking dish; place the lamb roast over thyme sprigs in dish. Pour remaining juice and wine over roast. Sprinkle with 1/4 teaspoon salt and 1/4 teaspoon pepper. Bake at 250º for 1 hour. Turn roast over, and bake an additional 1 1/2 hours or until a thermometer inserted in thickest portion of roast registers 145º (medium-rare). Remove from oven. Place roast on a cutting board; let stand 10 minutes.
Strain pan juices through a fine sieve into a small saucepan. Cook over medium heat until reduced to 2 tablespoons (about 5 minutes).
Remove twine; cut roast into thin slices. Arrange slices on a serving platter; drizzle with reduced pan juices.
To prepare mash, cook potatoes and parsnip in boiling water 25 minutes or until very tender. Drain; place in a large bowl. Add yogurt, oil, 1/2 teaspoon salt, and 1/4 teaspoon pepper. Mash with a potato masher to desired consistency. Serve with lamb. Garnish with thyme sprigs, if desired.