Bring broth to a simmer in a medium saucepan (do not boil). Keep warm over low heat.
Melt butter in a large saucepan over medium-high heat. Add fennel bulb, shallots, and garlic, and sauté 4 minutes or until tender. Add rice, and cook 2 minutes, stirring constantly. Add wine, and cook until liquid is nearly absorbed, stirring constantly. Add warm broth, 1/2 cup at a time, stirring constantly; cook until each portion of broth is absorbed before adding the next (about 30 minutes total).
Stir in shrimp, fennel fronds, lemon rind, and pepper; cook 8 minutes or until shrimp are done, stirring occasionally. Stir in 1/4 cup Parmesan cheese. Spoon risotto into bowls; sprinkle with remaining Parmesan cheese.