Preheat the oven to 350F. Season the chicken legs generously with salt and pepper.
Heat olive oil in a large oven-safe pan over medium-high heat. Sear the chicken legs on all sides until well browned, about 8-10 minutes total. Remove and set aside.
Lower the heat to medium. Add the onion, carrot, and parsley stalks if using, with a pinch of salt. Cook 5-6 minutes until softened. Add the garlic and cook for 30 seconds. Stir in the paprika and cumin if using and cook briefly to bloom.
Add the lentils and stir to coat in the aromatics. Warm the chicken stock and add the saffron threads to bloom. Pour the saffron stock into the pan and add the bay leaves. Taste and adjust seasoning.
Nestle the chicken legs back on top of the lentils in a single layer.
Transfer to the oven and bake uncovered for 45-55 minutes, until the lentils are tender and the chicken is fully cooked.
Remove from the oven and rest for 5 minutes. Finish with lemon juice and chopped parsley. Remove bay leaves before serving.
