Heat the oven to 400°F. Place a large rimmed baking sheet in the oven to warm. Pour the grape seed oil on the baking sheet, and return to the oven for 2 minutes or until the oil is very hot.
Stir the celery root in the oil on the sheet, return to the oven, and roast for 3 minutes. Stir in the parsnips, turnip, carrot, and rosemary; season with a few pinches of salt and pepper, and roast for another 5 minutes. Scatter the onion on top, and continue to roast, stirring periodically, until all the vegetables are cooked through and well browned—about 25 minutes.
Transfer the warm vegetables to a large serving bowl, and remove the rosemary sprigs. Stir in the pickled carrots and ¼ cup of the pickling liquid. Mix in the apple just to warm through. Taste and adjust the seasoning, adding pickling liquid, if necessary, until the vegetables are well seasoned and mildly tangy. Mix in the dill, if using. With a vegetable peeler, shave curls of cheddar over the salad before serving.