Preheat the oven to 425°. In a skillet, heat the 2 tablespoons of oil. Add the onion, bell pepper, fennel and garlic and cook over moderately high heat, stirring, until tender, 6 minutes. Add the tomatoes and crushed red pepper and cook, mashing, until thickened, 5 minutes. Season with salt and black pepper. Remove from the heat; let cool slightly. Stir in the shrimp, parsley and dill.
Using a spoon, scoop out the flesh of the zucchini, leaving a 1/4-inch shell all around. Rub with oil. Season the zucchini shells with salt and pepper and stuff with the filling. Transfer to a lightly oiled roasting pan and roast for 30 minutes, until the filling is cooked through and the zucchini is just tender.
Preheat the broiler and position a rack 6 inches from the heat. Top the zucchini with the feta and broil for 5 minutes, until the feta is melted and golden. Serve the stuffed zucchini hot or at room temperature.