Heat an 8 quart dutch oven or other heavy bottomed pot over medium high heat until very hot. Generously salt and pepper the duck legs then add them to the pot, skin side down. Add the sausage slices around the duck in a single layer and allow to brown. Flip the sausage slices as they brown then flip the duck legs when they no longer stick to the pan. Transfer the sausage to a plate as they finish browning then transfer the duck legs when they are nice and brown on both sides.
The pan should now have about 1 tablespoon of fat rendered from the sausages and duck. If there is more, drain the excess off into a ramekin and set aside. To make the mirepoix, add the onions and celery along with a generous pinch of salt and saute until soft and translucent. Add the two bell peppers, garlic and chili pepper of your choice and continue to saute until the onions are starting to caramelize and the bell peppers are nice and soft. Take the pot off the heat and set aside.
Now we're going to make the roux. What we're doing here is caramelizing the flour until it's dark chocolate brown. To avoid burning it, it needs constant supervision and stirring which will take anywhere from 30 minutes to an hour. Don't use a non-stick pan or silicon utensil to stir as they are typically not safe to use at temperatures as high as this mixture will get. I'd recommend using a stainless steel whisk or a flat edged wooden paddle. If you use a wooden paddle, be prepared to have it scorch a little. Lastly be very careful not to splash this on yourself as it's a guaranteed trip to the ER if you do.
Add any reserved fat you have from the duck and sausage to a 1/4 C measuring cup and top off with duck fat, clarified butter, or lard. Do not use regular butter, as the milk solids in it will burn. Add the fat to to a medium sized sauce pan and heat over medium low heat until very hot. Add the flour and immediately start stirring. Be sure you keep every part of the roux moving so it does not burn. As long as it's not smoking you can turn the heat up in small increments but turn it down if you start to see smoke. As the roux reaches a medium brown color (like beef gravy), turn the heat down a little to slow the process down. You want to get it to the color of dark chocolate (photo above), but there is a very fine line between that and burnt.
As soon as it's reached the desired color, remove the pot from the heat and stir in some of the mirepoix to bring the temperature down quickly. Once it's cool enough to touch, have a taste. If it tastes bitter, you need to throw it out and start over. Add the roux and chicken stock into the large pot with the rest of the mirepoix. Put the pot over a medium high flame and whisk until the roux is dissolved and the mixture begins to boil.
Turn the heat down to maintain a gentle simmer and add the duck, sausage and the rest of the gumbo ingredients. Cover with a lid set slightly ajar to allow steam to escape and simmer until the duck is tender (about 1- 1 1/2 hours).
In the meantime, cook the rice, and peel and devein the shrimp.
When the duck is tender, remove the legs from the gumbo and allow them to cool enough to handle. Take the meat off the bones and add it back to the pot. Taste for seasonings and add more salt and pepper as needed and adjust the spiciness with cayenne pepper. Turn the heat up and bring the gumbo to a boil then add the shrimp, stirring to submerge. Cover immediately and remove the pot from the heat. The residual heat will gently cook the shrimp to perfection in about 7 minutes (use less time if your shrimp are small).
To serve, put a small amount of rice in the bottom of a shallow bowl and top with the gumbo. Sprinkle with parsley and serve with hot sauce and bread.