Preheat the oven to 200°C top heat and circulating air.
Cut the fennel into bite-sized - but not too small - pieces and place in a mixing bowl. Add all other ingredients for the orange fennel and mix well. Spread evenly on a baking sheet lined with baking paper and bake for 20-25 minutes, until the fennel is cooked through and browned around the edges.
For the polenta, bring the water to boil. As soon as the water boils, pour 2 tablespoons of it into a small bowl, add the saffron threads and let it steep for a moment. Let the polenta trickle into the boiling water while stirring. Add the saffron water and continue to heat for about 2 minutes while stirring (be careful, the polenta tends to splash around). Remove from heat, stir in the olive oil and salt and keep warm with the lid closed. The polenta will become firmer over time. It is therefore best to stir in a little more hot water just before serving until the desired consistency is achieved.
Pour polenta into deep plates and serve garnished with the orange fennel from the oven and some freshly ground pepper.