Put the lentils into a saucepan with the bay leaf and enough cold water to cover (do not add salt). Bring to the boil, reduce to a simmer and cook for 30 minutes or until tender. Season to taste, add the beans and simmer for 1 minute. Drain the lentils and stir in the parsley, mustard, capers and oil. Discard the bay leaf.
Meanwhile, arrange the lemon slices on a foil-lined grill pan and put the salmon and fennel slices on top. Season the salmon and fennel and cook under a preheated hot grill for about 10 minutes or until the salmon is cooked through.
Serve the fennel slices and lentils with the salmon on top, garnished with dill sprigs.