To prepare yogurt sauce, place grated cucumber on several layers of paper towels; cover with additional paper towels. Let stand 5 minutes, pressing down occasionally. Combine cucumber, yogurt, and next 3 ingredients (through garlic) in a small bowl. Stir in 1/4 teaspoon pepper and 1/8 teaspoon salt. Cover and refrigerate 1 hour.
Preheat oven to 425°.
Cut 4 (15 x 24-inch) pieces of parchment paper. Fold in half crosswise. Draw a large heart half on each piece, with the fold of the paper being the center of the heart. Cut out the heart, and open. Place about 1/2 cup fennel near fold of each piece of parchment. Top each serving with 2 tablespoons leek and 1/2 teaspoon oil. Sprinkle salmon evenly with 1 teaspoon salt and 1/2 teaspoon pepper. Place 1 fillet on each serving. Drizzle 1 tablespoon vermouth over each serving. Starting at the top of the heart, fold edges of parchment, sealing edges with narrow folds. Twist the end tip to secure tightly. Place packets on a baking sheet. Bake at 425° for 15 minutes. Remove from oven, and let stand 5 minutes. Place on plates; cut open. Garnish with chopped fresh dill, if desired. Serve immediately with yogurt sauce.