Preheat the oven to 200C/gas 6. Peel and trim the parsnips, cutting them into batons approximately 5cm long and 1cm thick. Finely chop the shallot and crush the garlic.
Bring the stock to the boil, add the puy lentils and bay leaf and simmer gently for 25–30 minutes, or until the lentils are just tender but still retain some bite. Drain the lentils, discard the bay leaf and set aside.
Place the walnuts on a baking tray and toast in the oven until lightly browned and fragrant. Remove the tray from the oven, scoop out the walnuts, and add the parsnips in their place. Drizzle with the olive oil and roast for 35 minutes until golden.
Make the dressing by whisking together the walnut oil, vinegar, honey, mustard and garlic. Season and stir in the garlic and shallots.
In a bowl, toss together the lentils, walnuts, parsnips and dressing. Place the watercress or rocket onto plates, pile on the lentil salad and top with shavings of vegetarian cheese.