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Put the saffron in a small bowl and cover with 1/2 tbsp of boiling water. Heat oven to 180C/160C fan/gas 4. Put the fennel in a roasting tin with the tomatoes and bay leaf, drizzle over some oil, season and toss together with the chilli flakes. Pour over the wine. Prick the courgettes all over with a fork and place on top of the fennel. Drizzle with a little more oil, then season and cover with foil.
Roast for 1 1/2 - 2 hrs, turning the courgettes halfway through, removing the foil for the last 5 mins. The courgettes should be very soft. Lift the courgettes from the pan and set aside.
Meanwhile, heat 1 tbsp olive oil in a frying pan over a medium heat. Add half the lemon zest and breadcrumbs, and gently fry until the bread is golden and crunchy. Set aside.
Cook the orzo in a pan of boiling water until al dente, then drain. Toss with the fennel, tomatoes, pine nuts, the saffron and its water. Season.
Divide the orzo between plates and add half the ricotta to each, drizzle with olive oil and sprinkle with sea salt. Top with the courgettes and scatter over the breadcrumbs, remaining lemon zest and sprigs of dill.