Stabilize your grill at 500°F and set up for a direct cook. Place a cast iron pan on the grill surface and bring it to temp.
Once the pan is hot, add the butter and diced onions. Cook for 1 minute, then add the garlic. Sweat for 30 seconds, then add the leeks. Cook for another 30 seconds before deglazing with sherry (be careful of flames as sherry is flammable). Reduce by half, then add the heavy cream and fully incorporate and reduce by ¼.
Add the fresh thyme and mussels, then close the dome and allow to steam roast for 4 minutes. Check to make sure all of the mussels are open. As the sauce continues to reduce, transfer the open mussels to the presentation bowl. Discard any mussels that do not open and pour the reduced sauce over the bowl of opened mussels.
Garnish with sliced peppers, toasted baguette and ¼ bunch of parsley.