Line an 8-inch square glass baking dish with parchment paper. Butter the paper and set aside.
In a medium saucepan over medium-low heat, combine the condensed milk, chocolate chips, butter and salt and cook, stirring constantly with a wooden spoon or rubber spatula, until the chocolate is completely melted. When the mixture is smooth, remove from the heat and stir in the orange zest and vanilla. Pour into the prepared baking dish and sprinkle with the fennel seeds. Press gently to make them stick if need be. Allow to chill completely in the refrigerator before slicing into squares, about 2 hours.