Steam fennel 25 to 30 minutes until fennel is tender yet firm. Allow the fennel to chill completely then toss with olive oil, lemon juice, lemon zest and roughly chopped fennel fronds. Season with salt and freshly ground black pepper, to taste.
Soak the baccala for 3 days in cool water, changing water daily. Cut into 1-inch cubes. In a 4-quart saucepan, heat the olive oil until smoking. Add the onion and garlic and cook over medium-high heat until softened and light golden brown, about 8 to 10 minutes. Add the baccala and stir until well mixed with the onions. Add the wine, tomato sauce, fennel seeds and hot chilis and bring to a boil. Lower the heat and simmer 1 hour or until reduced by 1/3.
Preheat the oven to 375 degrees F. Lightly oil 2 (10-inch) cake pans. Make the polenta according to the package directions, and while still hot, pour into cake pans to fill halfway with polenta and allow to cool (about 15 minutes). Divide baccala over the polenta among 2 pans and place in the oven to bake for 45 minutes. Remove, allow to rest for 10 minutes, cut into wedges like a cake and serve with steamed fennel dressed- like a salad.
In a 3-quart saucepan, heat the olive oil over medium heat. Add the onion and garlic and cook until soft and light golden brown, about 8 to 10 minutes. Add the thyme and carrot and cook 5 minutes more, until the carrot is quite soft. Add the tomatoes and juice and bring to a boil, stirring often. Lower the heat and simmer for 30 minutes until as thick as hot cereal. Season with salt and serve. This sauce holds 1 week in the refrigerator or up to 6 months in the freezer. Yield: 4 cups