Preheat oven to 375F.
Heat a large grill pan or grill to medium-high. Trim a little skin off the eggplant so it sits stable on its side. Trim another slice of skin off the first side then cut the eggplant into 8 slices lengthwise, each about 1/4- to 1/2-inch-thick. Brush the slices with EVOO and season with salt and pepper. Grill until tender and seared with grill marks, about 3 minutes on each side. Cook in 2 batches if necessary.
While the eggplant is on the grill, mix the ricotta with Romano and parsley.
Heat the remaining EVOO from basting the eggplant in a small sauce pot over medium to medium-high heat. Add the onions, garlic and bay leaf, and season with salt and lots of black pepper. Cook for 5 minutes to soften the veggies then add the tomatoes and cinnamon. Simmer 5 minutes more.
Remove eggplant steaks from the grill and top each one with a slice of ham. Place 1/4 cup of cheese on one end of each steak, then wrap and roll the eggplant. Set into a small casserole. Place a dollop of sauce on each rollup and top with the thinly sliced smoked mozzarella.
Bake 20 minutes until ricotta is set and cheese has melted to golden and bubbly on top. Pass remaining sauce around at the table.