In a medium or large Dutch oven over high heat, melt butter. Add onion, fennel and bay leaf, season with salt and pepper, and cook down for 8 minutes until vegetables are tender.
Stir in garlic, wine and rice, stirring constantly, until liquid is fully absorbed, about 3 minutes.
Stir stock into the rice mixture. Reduce heat to medium. Cover and allow the liquid to absorb until the rice is al dente, about 18 minutes. Stir the rice occasionally during the simmering.
Turn off the heat. Stir in cream, parmesan and lemon zest. Fold in the shrimp. Cover pot and let stand for 5 minutes to allow the shrimp to gently cook.
Serve topped with dried parsley. Add extra parm or a drizzle of extra cream over top.