How to Make It
In a medium saucepan of salted boiling water, blanch the chicken livers until just barely cooked, 1 to 2 minutes. Transfer to a plate and let cool slightly, then finely chop them.
Meanwhile, in a small skillet, toast the fennel, cumin and crushed red pepper over moderate heat until fragrant, about 1 minute. Transfer to a spice grinder and let cool, then grind into a powder.
In a medium bowl, combine the lamb with the chopped livers, ground spices, fish sauce, shallot, celery, ginger, oyster sauce, Cognac, cheese and sugar. Knead the filling until well mixed and slightly sticky.
Spread 6 wonton wrappers on a work surface and brush the edges with water. Spoon 1 teaspoon of the lamb filling in the center of each wrapper and fold in half to make triangles; press the edges firmly to seal, pressing out any air pockets. With the longest side of the triangles facing you, fold up the two opposite corners and pinch them together to seal. Transfer the dumplings to a wax paper–lined baking sheet and cover with a damp paper towel. Repeat with the remaining wrappers and filling.
Bring a large saucepan of water just to a simmer and add a generous pinch of salt. In batches, cook the dumplings until the wrappers are translucent and the filling is just cooked through, about 4 minutes. Using a slotted spoon, transfer the dumplings to paper towels to drain briefly, then arrange on plates. Top the dumplings with the salmon roe and dollop some of the yogurt on the plate. Garnish with dill sprigs, celery leaves and a drizzle of chile oil and serve right away.