Lay the filo pastry sheets onto a lightly floured work surface.
Slit the long side of each salmon piece, open like a book, and place onto a pastry sheet.
Fill each salmon piece with three anchovies, one teaspoon of sour cream, and one teaspoon of dill.
Season the salmon with lemon juice, ground black pepper, and sea salt flakes.
Brush pastry with egg wash, roll tightly around the salmon, and coat the exterior with more egg wash.
Heat oil in a pan and fry the parcels until golden, avoiding overcooking the fish.
Whisk olive oil, vinegar, honey, and salt in a bowl to make the dressing.
Toss the watercress and rocket in a separate bowl with a small amount of the dressing.
Fan sliced avocado halves onto plates and drizzle with extra dressing.
Arrange the salad leaves beside the avocado and sprinkle with salmon roe.
Place a hot salmon parcel on each salad and serve immediately.