Preheat the oven to 375ºF.
Place the garlic on a square of aluminum foil. Sprinkle with salt and drizzle with 1/2 tsp of olive oil. Gather the corners of the foil together and seal. Roast for 30 minutes. Remove the garlic from the skin.
Blend garlic and egg in a food processor for 10 seconds. Add lemon juice. With the motor running, slowly add remaining 1/2 cup olive oil. The mixture will be thick. Add parsley, salt, and cayenne and pulse 3 to 4 times to blend. Store up to 24 hours in the refrigerator.
Season Catfish with 2 tsp of salt ,1/4 tsp of cayenne and 1 tsp Montreal steak seasoning. Combine onions, bell peppers, celery, and garlic in a bowl and season with remaining 2 tsp salt and remaining 1/2 tsp cayenne.
Melt butter in a large cast-iron Dutch oven over medium heat. Stir in one third of the mixed vegetables to the butter to coat. Spread vegetables evenly on the bottom of the pot. Place one third of tomatoes and 2 bay leaves on vegetables. Place one third of the Catfish on top of the vegetable and tomato mixture. Continue to layer then scatter shrimp on top. Add wine then cover and reduce the heat to medium-low. Cook for 1 hour without removing the lid. Remove the bay leaves.
Serve in large soup bowls and garnish with parsley. Drizzle 1 tbsp of the rouille in each bowl. Serve immediately.