For roast peaches, preheat oven to 220C. Spread sugar evenly over the base of a roasting pan that will fit peaches snugly. Press cut sides of peaches into sugar to coat thickly, then arrange cut-side up and drizzle wine and juices around them. Roast, turning occasionally, until caramelised and tender (20-25 minutes). Set aside to cool.
Bring milk to the simmer in a saucepan over medium-high heat. Whisk yolks and sugar in a bowl until thick and pale, pour milk mixture over and whisk to combine. Return to pan and heat, and stir continuously until mixture thinly coats the back of a spoon (4-5 minutes). Strain into a bowl and refrigerate until chilled (2-3 hours).
Purée roast peaches in a blender until smooth, whisk into gelato, then churn in an ice-cream machine. Freeze in an airtight container until firm (1 hour) and serve with extra roast peaches.