Place chicken between 2 sheets of heavy-duty plastic wrap; flatten to 1/4-inch thickness, using a meat mallet or rolling pin. Sprinkle with salt and 1/4 teaspoon pepper; set aside.
Combine red pepper, cream cheese, and pesto in a small bowl, stirring until smooth. Spread cheese mixture evenly over chicken breasts. Roll up, jellyroll fashion; secure with wooden picks.
Combine crushed cereal, parsley, and paprika. Dredge chicken in cereal mixture. Place in an 11- x 7- x 1 1/2-inch baking dish coated with cooking spray. Bake, uncovered, at 350° for 35 minutes; let stand 10 minutes. Remove wooden picks from chicken, and slice each roll into 6 rounds. Garnish with thyme sprigs, if desired.