Heat the oven to 220°C (425°F). Toss the sliced fennel with 1 tablespoon oil and the salt, and spread it in a baking dish large enough for the fillets side by side.
Heat 1 tablespoon oil in a skillet over medium heat. Cook the diced fennel and shallot for 4 minutes, until soft and just beginning to turn golden. Add the garlic and cook for 30 seconds until fragrant.
Off the heat, stir in the breadcrumbs, cream cheese, lemon zest, and fronds until the mixture holds together when pressed. Season with salt and pepper and let it cool for 3 minutes.
Pat the fillets dry. Using a thin sharp knife, cut a horizontal pocket into the side of each fillet, about 2 inches (5cm) long, without cutting through the other side.
Spoon a quarter of the stuffing into each pocket, pressing gently so it fills the cavity without bulging out. Rub the fillets with the remaining oil and season with salt and pepper.
Roast the fennel bed alone for 5 minutes, then set the fillets on top and lay a lemon slice over each. Roast for 12 to 15 minutes, until the fish turns opaque, looks white and glossy at the edges, and a thermometer in the thickest part reads 60°C (140°F).
Rest the fish in the dish for 3 minutes. It should flake into large, moist pieces. Serve with the roasted fennel, pan juices, and lemon wedges.