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Preheat oven to 350°F.
Heat a large Dutch oven or deep skillet with tight-fitting lid over medium-high heat.
Season the lamb with salt, pepper and fennel seed. Add oil, 3 turns of the pan, to the pan and brown the lamb shanks evenly to deep brown all over; remove to plate. Add onion, fennel, carrot, celery, garlic, bay, rosemary, thyme, salt and pepper to the drippings, partially cover the pan and sweat vegetables 10 minutes, stirring occasionally. Add tomato paste to pan and stir until fragrant. Add wine, stir to deglaze pan then add stock and bring to boil. Add lamb back into the pot and reduce heat to simmer. Cover and cook 2 hours or until very tender.
For the polenta, grease casserole dish (use a 12-inch round casserole or 13-inch rectangular dish) with softened butter and fill with stock and polenta. Stir, season with salt and pepper and bake 1 hour. Add 3 tablespoons butter, honey, cheese and bake another 30 minutes to firm.
Pile gremolata ingredients together and finely chop to combine.
When the meat is done, remove lamb to platter, cover loosely with foil and reduce sauce by half. Finish with lemon juice.
Pour sauce over lamb and top with gremolata passing more at table. Serve with polenta or crusty bread alongside.