Cut bell pepper in half lengthwise; discard seeds and membranes. Place pepper halves, skin sides up, on a foil-lined baking sheet; flatten with hand. Add ear of corn to baking sheet. Broil 5 minutes. Add asparagus to baking sheet; broil an additional 10 minutes or until pepper is blackened, turning corn and asparagus after 5 minutes. Place pepper in a zip-top plastic bag; seal. Let stand 15 minutes. Peel and chop pepper. Cut kernels from ear of corn. Cut asparagus into 1/4-inch pieces. Set aside roasted vegetables.
Bring water and broth to a simmer in a medium saucepan (do not boil). Keep warm over low heat.
Heat oil in a large saucepan over medium-high heat. Add onion, shallots, and garlic; sauté 3 minutes. Add rice; cook 2 minutes, stirring constantly. Stir in wine; cook 5 minutes or until liquid is nearly absorbed, stirring constantly. Add warm broth, 1 cup at a time, stirring constantly; cook until each portion of broth is absorbed before adding the next cup (about 20 minutes). Stir in the roasted vegetables, cheese, and remaining ingredients. Cook an additional 2 minutes, stirring constantly.