Preheat the oven to 350 degrees.
Heat a large Dutch oven (preferably oval) or soup pot with a lid, over high heat. Add half the olive oil and heat. Pat the lamb shanks dry with paper towels and season generously with salt and pepper. Add 2 of the lamb shanks to the hot oil and brown on all sides, about 4 to 5 minutes per side. Transfer shanks to a plate. Repeat with the remaining olive oil and shanks. Add the garlic, celery, carrots and onions and to the pot, and cook, stirring occasionally, until browned, about 8 minutes.
Meanwhile, use a vegetable peeler to strip the zest (just the orange skin, not the white pith underneath) from the orange in large pieces. Halve and juice the orange and set aside.
Add the red wine to the vegetables and stir with a wooden spoon, scraping up any browned bits that cling to the pot. Stir in the orange zest, currants, salt, and pepper. Bring to a boil and cook until the wine is syrupy, about 5 minutes.
Cut a square of cheesecloth and place the parsley stems, thyme, bay leaves, cloves, cinnamon, juniper berries, peppercorns and star anise in the center. Tie into a bundle with kitchen twine. Add the spice bundle, chicken broth, orange juice and the shanks, along with any collected juices, to the pot, bring the mixture to a boil, cover, and transfer to the oven. Cook about 1 1/2 to 2 hours, turning the shanks occasionally, until the meat is just falling off the bone.
Transfer the shanks to a plate. Scoop the vegetables from the liquid using a slotted spoon and set aside. Boil the cooking liquid over high heat until thickened, about 15 minutes. Add the lemon juice, and season the sauce with salt and pepper, to taste. Return the shanks to the sauce and warm over medium heat, turning to coat evenly.
To serve, mound some of the polenta in the centers of 4 heated dinner plates. Top with a shank, and spoon some sauce and vegetables over and around the meat. Spoon a bit of Blood Orange Relish over each shank and serve immediately.
Cut both ends from the oranges. Stand them on a flat end and cut away all of the peel and white pith. Quarter them top to bottom. Lay the wedges on their sides and slice them thinly crosswise. Slice the fennel crosswise into very thin slices.
Gently toss the oranges, fennel, apple, parsley, fennel seeds and vinegar together in a small bowl. Season with the salt and pepper. (This can be made a day ahead and refrigerated until ready to serve.)
Bring the milk, chicken broth and salt to a boil in a large saucepan. Whisk in the polenta in a slow stream and cook, whisking constantly, until the polenta thickens, 3 to 5 minutes. When large bubbles begin to surface, remove from heat and stir in the cheeses and pepper. Taste and season with additional salt, if necessary.
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