1.Preheat oven to 200°C.
2.Combine fennel with onion, garlic, seeds and oil in a shallow medium baking dish. Roast uncovered for 30 minutes. Cover and roast a further 20 minutes or until tender.
3.When cool enough to handle, squeeze garlic into a large saucepan; discard skins. Add roasted fennel mixture to pan with stock, milk and water; bring to the boil. Reduce heat and simmer uncovered for 10 minutes. Cool 15 minutes.
4.To make capsicum aïoli, roast capsicum under grill or in hot oven, skin-side up, until skin blisters and blackens. Cover capsicum in plastic or paper for 5 minutes, then peel away skin and chop capsicum coarsely. Blend or process garlic, yolk, juice and mustard until mixture is smooth. With motor operating, add oil in a thin, steady stream. Process until aïoli thickens. Add capsicum and process until smooth.
5.In batches, blend or process soup until smooth. Return soup to same cleaned pan. Add juice and stir over medium heat until hot.
6.Serve bowls of soup with aïoli and reserved fronds.