For the lemon butter: In a medium bowl using a rubber spatula, combine the butter, mascarpone, lemon zest and salt. Set aside.
For the popovers: Position an oven rack in the lower third of the oven and preheat to 450 degrees F. Once preheated, place a 12-cup muffin tin on the lower rack for at least 10 minutes.
In a medium bowl, whisk together the flour, cornmeal, salt and fennel seed. Make a well in the center of the dry ingredients and add the milk, eggs and 2 tablespoons of the melted butter. Starting with the wet ingredients in the center, whisk together to combine. Whisk until smooth. Allow the mixture to sit for 10 minutes to allow the cornmeal to soften.
Remove the muffin tin from the oven, brush the cups with the remaining 2 tablespoons of butter and divide the batter among the cups, filling them three-quarters of the way. Return to the oven and bake until puffed and deep golden brown, about 20 minutes. Serve immediately with the lemon butter.