Preheat the oven to 425°. In a medium roasting pan, toss the fennel with the olive oil and season with salt and pepper. Roast the fennel for 30 minutes, turning halfway through, or until tender and browned.
Meanwhile, in a small saucepan, bring the Pernod to a boil. Add the cream and star anise and simmer over moderate heat until reduced to 3/4 cup, about 8 minutes. Strain the cream and season with salt and pepper.
Light a grill. In a small skillet, melt the butter. Add the shallot and garlic and cook over moderate heat until softened, about 1 minute. Remove from the heat. Stir in the lemon and orange zests, bread crumbs and parsley and let cool.
Spread open the salmon fillets, season them with salt and pepper and sprinkle with the parsley mixture. Starting at the thinner end, roll each fillet into a log. Tie each log at each end with kitchen string, then cut each log into 2 equal pieces; you should have 4 rolls secured with kitchen string.
Season the salmon rolls with salt and pepper and grill over a medium-hot fire for 6 minutes, turning once. Move the salmon rolls to indirect heat and continue grilling until just barely cooked through, about 3 minutes longer. Transfer to a plate and carefully remove the strings. Rewarm the fennel and the Pernod cream sauce.
The recipe can be prepared 1 day ahead through Step 4. Refrigerate the fennel, sauce and salmon rolls separately. Return the salmon to room temperature before grilling and rewarm the fennel and sauce before serving.
To butterfly the salmon, make a horizontal slice at the thinnest side of the fillet, cutting three-quarters of the way through toward the thicker side. Alternatively, have your fishmonger butterfly the fillets for you.
An Italian white with a smoky, floral note, such as an Arneis, will echo the fennel in this dish.
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