TOSS peppers with dressing in large bowl; cover. Refrigerate at least 1 hour to marinate.
PLACE cream cheese, pesto and lemon juice in large bowl of electric mixer fitted with paddle attachment. Beat until well blended; set aside.
REMOVE peppers from marinade, reserving marinade. Grill peppers over high heat for 5 to 8 minutes or until crisp-tender, turning and brushing occasionally with reserved marinade.
FOR each serving: Spread cut surfaces of each roll with 1 oz. of the cream cheese mixture. Fill with 1/4 cup of the arugula and 3 oz. of the grilled peppers. Serve immediately or wrap tightly in plastic wrap and refrigerate up to 4 hours.