Heat oven to 400 degrees F.
Place 2 baking sheets in oven. Combine capers, peppercorns, dill seed, and lemon juice in a small bowl. Set aside.
Fold 4 (24-inch) square pieces of parchment paper in half crosswise, and cut each into a half heart shape, and open. Divide the fennel evenly among each piece of parchment, forming a bed on 1 side of the paper. Sprinkle each serving with a tablespoon of the reserved caper mixture, and season with salt. Place snapper fillet on fennel; season with salt, and then top each packet with remaining caper mixture and 2 lemon slices. Fold parchment over the ingredients, making small overlapping folds along the edge to seal.
Using a large spatula, place packets on heated baking sheets. Bake until the packets have puffed and the fish is cooked, about 15 to 18 minutes. Transfer packets to individual plates. Serve immediately with couscous, if desired.
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