Preheat the oven to 400 degrees F.
Make the Fennel Spice Rub: Put the fennel seeds, coriander seeds, and peppercorns in a heavy pan over medium heat. Watch carefully, tossing frequently so the seeds toast evenly. When light brown and fragrant, stir in the salt and pour the seeds onto a plate to cool. (They must be cool before grinding, or they will gum up the blades.)
Pour the seeds into a blender or spice mill and blend to a fine powder, shaking the blender occasionally to redistribute the seeds. Store in a tightly sealed glass jar in a cool, dry place, or freeze. (Makes about 1 1/4 cups.)
In 1 pot, bring sweet potatoes and water up to a boil with 1 tablespoon salt. Reduce heat to a simmer and cook until tender. Strain and lay out to cool.
In another pot bring 1/2 gallon water to a boil with 1 tablespoon salt, add sprouts and cook for 3 minutes Strain and lay out to cool.
For the lamb: Preheat the oven to 250 degrees F. Place a roasting pan in the oven.
Heat the olive oil in a large saute pan over medium heat until hot. Add the onions and a pinch of salt and pepper. Reduce the heat to medium-low and cook for about 1 minute. Add the sage and cook about 3 minutes. Add the water, cover, and cook until the onions are very tender, about 10 minutes. Uncover and saute until the onions are very soft and the pan is dry again, about 2 minutes.
Slice open the leg of lamb and lay flat. Season meat well all over with the Fennel Spice and salt and pepper. Spread half of the sauteed onion mixture directly on top of the seasoning, inside the leg of lamb. Roll up the meat and tie with kitchen twine. Set aside the other half of onion mixture.
Rub the outside of the lamb with more Fennel Spice. Remove the roasting pan from the oven and lay the carrots and celery on the bottom. Place the lamb on top of the carrots and celery, drizzle with some extra-virgin olive oil and cook for 7 hours. Spread the remaining onion mixture on top of the lamb, place a foil as a tent over the lamb and roast for an additional hour. The lamb is ready when it pulls away easily if picked at with a pair of tongs. Remove the lamb from the oven and keep warm.
Increase the oven heat to 425 degrees F.
Heat a large saute pan on high heat. Add 1/4 cup olive oil and reserved sweet potatoes and Brussels sprouts; Toss lightly to coat with oil and do not touch for 2 minutes or until the bottoms begin to brown. Turn and cook for 3 more minutes until brown on that side. Season with salt and pepper and place in oven for 15 minutes After 15 minutes open oven and add sage and garlic. Stir well and continue to roast for 5 minutes more or until the garlic is light brown. Remove from oven and sprinkle with orange zest.
Serve lamb warm with roasted vegetables.