Rinse lamb and pat dry. Lay flat, cut side up. Make long cuts lengthwise into, but not quite through, leg. Press out and pat meat so it's as evenly thick as possible, making additional cuts as required.
Put lamb in a plastic freezer bag (1-gal. size). Add mustard, vermouth, oil, Worcestershire, lemon juice, rosemary, and garlic. Seal bag, turn to coat meat, and freeze up to six weeks.
Thaw (see notes).
Lightly oil a barbecue grill over a solid bed of medium-hot coals or medium-high heat on a gas grill (you can hold your hand at grill level only 3 to 4 seconds). Lift lamb from bag; save marinade. Lay meat on grill. Close lid on gas grill. Cook until lamb is well browned on bottom, about 8 minutes. Turn meat and cook until as done as you like, about 20 minutes longer for medium-rare (pink in center; cut in thickest part to check). Transfer lamb to a platter and let rest at least 10 minutes.
Meanwhile, in a 2- to 3-quart pan, combine reserved marinade and cream; bring to a boil over high heat and stir often until mixture is reduced to 2 1/4 cups, about 10 minutes. Add any meat juices from platter.
Slice lamb and accompany with sauce.