Drizzle the bones with olive oil and season with salt and pepper.
Braai the bones, marrow-side down, over hot coals for 1-2 minutes to caramelise, then flip them over. When the marrow starts to bubble, move them to the cooler part of the fire. Pop the sourdough onto the grill and toast both sides until golden. Set aside.
For the salad, add pickled onions to a salad bowl with rocket, capers, lemon juice and zest. Drizzle enough olive oil to coat, season with salt and pepper. Toss to combine.
To assemble, scoop the warm marrow onto toast and top with salad.