Preheat the oven to 375 degrees F.
Stir together the garlic, parsley, olive oil, salt and pepper to make a paste. Spread that over the inside of the leg of lamb. Tie the leg crosswise with several lengths of butchers twine. Coat the outside of the leg of lamb with the Turkish Spice Mix and set it on a rack in a roasting pan.
Put the fennel in a small, deep baking dish (or souffle dish) and sprinkle with salt and pepper. Add the lemon juice and enough oil to entirely cover the fennel (2 1/2 to 3 cups, maybe more depending on the size of the dish). Cover with aluminum foil. Put the lamb and the fennel in the oven and cook until the fennel is very soft and the lamb is medium (140 degrees F), about 1 hour for the fennel, and about 1 1/2 hours for the lamb. Let the lamb rest 10 minutes before slicing.
While the lamb is roasting, make the mayonnaise: Grind the walnuts to a coarse powder in a food processor. Add all of the remaining ingredients and puree; set aside.
Slice the lamb against the grain and serve it with the roasted fennel and sweet red pepper mayonnaise.
Combine the spices in a spice mill or clean coffee grinder and grind to a powder. Store in an air-tight container.
Ask your butcher to remove the longer thighbone (from the fatter part of the leg) but leave the shorter shank bone (from the narrow end of the leg), so that the leg will hold its shape. With the thigh bone removed, you'll be able to open out that part of the leg, like a book, and coat it with the herb mixture to flavor the inside of the meat as it cooks.