1.Preheat grill (broiler) to high.
2.Seed and quarter capsicums; place, skin-side up, on two large oven trays. Place under grill, one tray at a time, 10 minutes or until skin blisters and blackens. Transfer to a large bowl. Cover with plastic wrap; cool 15 minutes. Peel then thickly slice.
3.Place spinach and the water, in a large saucepan over medium-high heat; cook, turning spinach with tongs or until starting to wilt. Cover with a lid; cook, further 2 minutes or until just wilted. Drain well. Cool slightly, then squeeze out excess liquid.
4.Heat oil in a large saucepan over medium heat; cook onion, stirring, 5 minutes. Add fennel and garlic; cook, stirring occasionally, 10 minutes or until vegetables are tender. Add rice, stir to coat. Add stock; bring to the boil. Cover with a tight-fitting lid, reduce to lowest heat, cook 16 minutes until liquid is absorbed. Stand, covered, 10 minutes. Fluff mixture with a fork; transfer to a large bowl. Cool 15 minutes. Stir in rind, oregano, chopped fennel fronds, chicken, cream, fetta, olives and spinach. Season.
5.Preheat oven to 200°C/400°F. Grease two 23cm (9¼-inch) springform pans with some of the melted butter.
6.Place fillo pastry sheets on a clean work surface; cover with plastic wrap, then a damp tea towel. Brush 1 fillo sheet with a little melted butter. Fold in half lengthways and place over the base of one pan allowing pastry to extend over the side. Repeat with 11 more fillo sheets, slightly overlapping, to line the base and side of the pan. Spoon a quarter of the rice mixture into the pan. Top with half the capsicum, then another quarter of rice mixture. Fold in the overhanging pastry to enclose filling.
7.Brush another fillo sheet with a little melted butter. Top with 2 more sheets, brushing each layer with a little butter. Using the pan as a guide, with a sharp knife, cut a 23cm (9¼-inch) round from pastry. Place over pie, buttered-side up. Press down to secure.
8.Repeat steps 6 and 7 with remaining fillo, butter, filling and capsicum, for second pie.
9.Bake pies for 1 hour, swapping pans halfway through cooking time, or until browned and filling is hot. Stand for 10 minutes before removing from pans.
10.Make herbed yoghurt. Combine ingredients in a medium bowl; season to taste. Refrigerate, covered, until required.
11.Serve pie with herbed yoghurt.