Put the lemon juice in a bowl and mix in the mustard, salt, pepper and sugar. Whisk in the oil a little at a time followed by 1 teaspoon of water, mix in the anchovies and the oil from the can, capers and herbs and put to one side.
Cut each Halloumi into 8 cross ways slices and lay on an oiled tray, scatter both sides with freshly ground black pepper.
Cut each apple quarter into 4 wedges put in an oven proof dish and toss with the oil.
Preheat oven to Gas Mark 3/160°C/ fan oven 150°C. Heat a ridged grill pan over a high heat (or on a BBQ rack over hot coals) and when you lay on the apple wedges lower the heat a little. Flip them over after about 1 minute (when golden ridge lines appear) to cook the other side. Put them back into the oil and put in the oven to keep them warm.
Rinse the pan and heat again. Cook the halloumi slices in batches in the same way on both sides. As each batch is cooked put back on the tray and put in the oven to keep warm.
To serve put two pieces of apple on top of each Halloumi slice and arrange on 2 large plates, spoon over the dressing and serve while hot. Scatter over the extra herb leaves.