Chop the onion, celery, bell pepper and garlic before starting to cook the duck. It will make things easier—it will also make your kitchen smell like heaven right away.
Season the duck legs with salt and pepper and place them skin side down in a dry, unheated Dutch oven or heavy pot. Set the heat to medium-low and brown the duck on both sides, about 5 minutes per side. If the duck doesn’t release from the pot at 5 minutes, just let it cook a minute or so more and it will.
Transfer the duck to a plate and add the andouille sausage. Brown just for 2 to 3 minutes, stirring occasionally and transfer to a bowl.
Make the roux. Survey the fat in the bottom of the pot. There probably won’t be more than a tablespoon or so. Add enough oil to the pot, enough to give you about 1/4 cup of fat. Raise the heat to medium and add the flour all at once. Whisk the flour into the oil to combine and continue whisking to prevent burning.
After 5 minutes or so, the roux will start to take on a blond hue. Continue whisking and cooking. If your roux starts to smoke, reduce the heat slightly. Eventually, the roux will turn a nice deep brown; mine took about 15 minutes to get to that point, but it can take longer.
When the roux reaches a satisfying brownness, add the onion. Toss to coat with the roux and stir frequently. Cook the onion for about 5 minutes, then stir in the celery, bell pepper and garlic. Cook, stirring occasionally, for another 3 to 4 minutes.
Add the chicken broth, water and diced tomatoes with their liquids to the pot. Add the cayenne pepper, oregano, thyme, paprika and a generous grind of black pepper and stir to combine. Return the duck legs and sausage to the pot, along with any accumulated juices. Tuck the bay leaves into the liquid and bring gumbo to a boil. Reduce heat and simmer, covered, for 1 hour.
Transfer the duck legs to a plate and allow them to cool enough to handle. Cover the pot and let the gumbo continue to simmer. Meanwhile rinse the okra, trim off the tops and slice into half-inch or so pieces. After 10 or 15 minutes, remove the skin from the duck legs and cut/tear the meat from the bones. It will still be pretty warm, so be careful. Cut the meat into bite-sized chunks, and add the duck and the okra to the pot.
Cover and simmer for another 45 minutes. Taste and adjust seasonings. I know that 1/4 teaspoon of cayenne sounds tame, but the andouille sausage will add some heat. Add more cayenne if you like or some hot sauce. As the gumbo nears doneness, cook the rice. Remove the gumbo from the heat, discard bay leaves and stir in the filé powder, if you’re using it.
Serve the gumbo in shallow soup bowls. Top with a generous mound of rice and sprinkle with chopped parsley. Pass the hot sauce around the table for those who want more heat and a vinegary zip.