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Make a rough 30cm square double layer of foil. Tip the potato wedges and fennel into the middle and toss to mix together with 1 tsp orange juice and 1 tsp oil.
Bring the foil up around the veg to make a bowl shape, then scrunch the top to seal. Put the foil parcels on the rack over the hottest part of the barbecue and cook for 35-45 mins until the potatoes are soft. (Unwrap and test with the point of a knife to check if they're ready.)
Meanwhile, whisk together the last 2 tsp orange juice and oil with the vinegar, honey, parsley, walnuts and zest. Season. When the potato is cooked, carefully open the top of the parcel and pour in the dressing with most of the feta – the heat of the barbecue will bring out the flavours of the dressing and warm the feta. Gently mix in the parcel, then scatter with the remaining feta.