You can roast the asparagus ahead of time and serve at room temperature with room temperature dressing if you like, and to save space and cooking time for a holiday.
The sherry shallot dressing can be made up to 10 days ahead and stored in a mason jar in the fridge. For drizzling on roasted vegetables, I would serve the dressing at room temperature (leave out of the fridge for about 45 minutes before serving), but for salads you can use cold. Shake dressing in the mason jar before using again.