Season the snapper fillets with sea salt and pepper. Place two grape leaves on a clean surface so that they overlap slightly. Place a fillet in the center. Fold the leaves over the centre of the fillet to enclose completely. Brush with oil on the top and bottom to keep the leaves from sticking, and place on a grill pan. Repeat with the remaining fillets and leaves.
Place the fish under the preheated grill about 15cm from the heat source. Grill for 4 minutes per side, turning once, or until fish is opaque.
While the fish is broiling, melt the butter in a small saucepan over medium heat. Stir in the garlic, lemon zest, capers, sherry and parsley. Season with salt and pepper.
To serve, remove the fish packets to a platter, and spoon the sauce over the top.