1.Melt butter in small saucepan; cook fennel, stirring, about 5 minutes or until fennel softens. Add flour; cook, stirring, about 2 minutes or until mixture bubbles and thickens. Gradually stir in milk; cook, stirring, until béchamel boils and thickens.
3.Remove scallops from shells; rinse and dry shells. Return scallops to shells; grill scallops about 5 minutes or until cooked. Top scallops with béchamel; grill until browned lightly.
4.Sprinkle scallops with dill.