Prepare the grill for direct and indirect cooking over medium-high heat (400° to 500°F).
Lightly brush the onion slices with oil and season with ½ teaspoon salt and ¼ teaspoon pepper. Grill the onion slices over direct medium-high heat, with the lid closed, until tender and marked by the grill, 8 to 10 minutes, turning once or twice. Remove from the grill and roughly chop.
Place a large, deep grill-proof pot over direct medium-high heat, add 2 tablespoons oil, and heat for 1 to 2 minutes. Add the carrot and stir until slightly softened, 6 to 8 minutes. Stir in the garlic and curry powder and cook for 1 minute more, then stir in the grilled onion. Add the lentils and stir to coat with the oil. Add the sherry and, when it comes to a boil, cook until it has almost evaporated, 1 to 2 minutes. Add the broth and bring to a simmer. Cover the pot, move over indirect medium-high heat, close the lid, and cook until the lentils are very soft, 30 to 40 minutes, stirring occasionally. Remove from the grill.
Spoon one-third of the soup (about 2 cups) into a blender. Cool slightly, and then blend until smooth. Return the blended soup to the pot and stir in 1 cup of the ham, ¼ teaspoon salt, and ¼ teaspoon pepper. Place the pot over direct medium-high heat, close the lid, and cook until heated through, 2 to 3 minutes. Season with more salt and pepper, if desired. Ladle the soup into bowls. Top with the remaining ½ cup ham and the parsley. Serve warm.