Meanwhile, preheat oven to 400 F. Line baking tray with parchment paper and set aside.
Place 1 sheet of phyllo pastry on work surface, keeping remaining phyllo sheets covered with a lightly dampened tea towel. Brush with some olive oil and sprinkle with 1 Tbsp breadcrumbs. Top with second phyllo sheet and brush with a little more olive oil. Place 1 salmon fillet crosswise on pastry sheet, about 5 inches in from a short end. Top salmon fillet with a quarter of vegetable mixture. Fold 5 inch section of pastry over salmon. Fold in sides and roll up, forming a rectangular packet. Transfer to prepared baking tray, vegetable side up. Brush packet all over with olive oil. Repeat with remaining pastry sheets, olive oil, breadcrumbs, salmon fillets, and vegetables.
Bake salmon in preheated oven until pastry is pale golden and salmon is cooked through, about 35 minutes.
While salmon bakes, whisk together yogurt, remaining 2 Tbsp dill, garlic, cayenne (if using), and lemon juice.
Serve salmon parcels warm or at room temperature with some dill sauce on the side.
Recipe Notes
Per serving: 582 calories; 44 g protein; 27 g total fat (4 g sat. fat); 37 g total carbohydrates (5 g sugars, 4 g fiber); 503 mg sodium