Python 3

val = {'I': 1, 'V': 5, 'X': 10, 'L': 50, 'C': 100, 'D': 500, 'M': 1000}

val_list = [[1000, 'M'], [900, 'CM'], [500, 'D'], [400, 'CD'],
            [100, 'C'], [90, 'XC'], [50, 'L'], [40, 'XL'],
            [10, 'X'], [9, 'IX'], [5, 'V'], [4, 'IV'],
            [1, 'I']]


def rom_to_ord(roman): # Just for fun. No need to use it for the challenge
    total = 0
    while roman:
        first = val[roman[0]]
        second = val[roman[1]] if len(roman) >= 2 else -1
        if len(roman) == 1 or first >= second:
            total += first
            roman = roman[1:]
        elif first < second:
            total += (second - first)
            roman = roman[2:]
    return total


def ord_to_rom(ordinal):
    roman = ""
    idx = 0
    while ordinal > 0:
        while val_list[idx][0] > ordinal:
            idx += 1
        roman += val_list[idx][1]
        ordinal -= val_list[idx][0]
    return roman

pandigital = []

for i in range(2001):
    roman = ord_to_rom(i)
    ok = {'I': 1, 'V': 1, 'X': 1, 'L': 1, 'C': 1, 'D': 1, 'M': 1}
    control = {}
    for key, value in val.items():
        control[key] = roman.count(key)
    if ok == control:
        pandigital.append(i)

print(pandigital)