For the marinade, combine orange juice, olive oil, lemon zest and juice, wine, Mediterranean seasoning, garlic, salt and pepper in a blender until well mixed. Place lamb and marinade in a glass bowl and cover. Refrigerate 12 to 24 hours. Bring to room temperature (takes about 1 hour) before roasting.

Preheat oven to 450°F. Toss fennel in vegetable oil and arrange in the bottom of a roasting pan. Remove lamb from marinade, discarding the marinade. Pat the roast dry, brush with olive oil and sprinkle with salt and black pepper. Place lamb, fat side up, on a roasting rack. Roast for 20 minutes, then reduce oven temperature to 300°F and roast for 1 1/2 hours longer, until a thermometer inserted into the thickest part of the lamb reaches 145°F for medium. Allow to rest 20 minutes before carving. Arrange fennel on a serving platter.

For the gravy, while the lamb rests, heat the roasting pan over medium heat. Stir in white wine and scrape up pan drippings. Add chicken broth and reserved Mediterranean spice blend. Bring to a simmer and cook, stirring occasionally, 5 minutes. Whisk in flour and butter mixture, cooking 2 minutes until gravy thickens. Add lemon zest and salt and pepper to taste.