Add the water and 1 teaspoon salt to a large pot over high heat. Bring to a boil. Slowly pour in the polenta, stirring constantly to help prevent lumping. Cook, stirring frequently with a long-handled spoon to prevent sticking, until very thick, 25-30 minutes. (The polenta may bubble and spurt while cooking; in addition to using the long-handled spoon, I also partially cover my polenta while it cooks.) Once the polenta is thick, stir in 1 tablespoon olive oil.
Grease a standard size, 4x8-inch loaf pan with 2 teaspoons olive oil. Spoon the warm polenta into the loaf pan, spreading evenly. Allow to cool for at least 10 minutes, or refrigerate for up to 24 hours. Invert the pan onto a cutting board; the polenta should slide right out in a solid block. Cut lengthwise into 8 slices. Set aside.
Mix the ricotta filling:
In a medium bowl, use a fork to combine the ricotta, ¾ cup feta, egg, spinach, roasted red peppers, ½ cup olives, oregano, salt and pepper. Set aside.
Assemble the lasagna:
Preheat oven to 350°F. Have an 8x12-inch pan ready. For easy assembly, have all components (polenta, ricotta mixture, sauce and mozzarella) arranged side-by-side on the kitchen counter or table.
Spread a little sauce on the bottom of the pan. Lay four slices of polenta in a single layer over the sauce. Add half the ricotta in dollops, then spread gently to distribute evenly. Add half of the remaining sauce, then half the mozzarella cheese. Repeat layers -- add the remaining polenta, then the ricotta, then the sauce, then the cheese. Top evenly with ¼ cup crumbled feta and ¼ cup kalamata olives.
Bake until hot throughout and the cheese is bubbly and beginning to brown in spots, 40-50 minutes. Let cool for about 15 minutes before cutting into squares and serving.