Place a rack in center of oven and preheat to 450°F. Line a large baking sheet with foil. Slice fennel bulbs in half lengthwise, through root end. Thinly slice 1 half crosswise and transfer to a large bowl. Quarter remaining 3 halves lengthwise, making 12 wedges. On baking sheet, toss wedges with oil and 1/4 tsp. each salt and pepper. Arrange in a single layer and roast, turning once, until golden brown on both sides and tender, 25 to 30 minutes.
Slice tops and bottoms from oranges and remove peel and pith with a small paring knife, cutting from top to bottom all around orange. Working over bowl with fennel slices, cut segments from oranges, slicing between membranes and letting segments drop into bowl. Squeeze juice from membranes into bowl; discard membranes and seeds.
In a small bowl, whisk together yogurt, tahini, 1 tsp. lemon juice, cumin, garlic and 1/4 tsp. each salt and pepper.
Add radicchio, roasted fennel and remaining 2 tsp. lemon juice to bowl with fennel slices and orange segments; toss gently. Spoon half of yogurt mixture onto 4 plates. Divide salad evenly among plates and top with beets and walnuts. Serve remaining yogurt mixture on the side.