Mix together the salt and fennel seeds and stir through the egg whites. Spread about one-third of this mixture over the bottom of a large ovenproof dish. Place the fish on top, then cover with the remaining salt, making sure you don't have any gaps, although it's fine for the tails to be showing. Bake in a preheated oven, 200°C (400°F), Gas Mark 6, for 20 minutes.
Meanwhile, cut the peel from the citrus fruits using a sharp knife. Divide the fruits into segments by cutting between the membranes, holding them over a bowl to catch the juice. Place in the bowl with the juice and the remaining ingredients and season.
To serve, crack open the salt crust by giving it a sharp tap with the back of a heavy knife. Peel away the salt crust, remove the fish and serve with the dressing alongside.