Dot the butter into a shallow 2 litre (3½ pint) ovenproof dish and place in a preheated oven, 180°C (350°F), Gas Mark 4, for 5 minutes until melted. Meanwhile, roughly chop the fennel, reserving the fronds. Toss the fennel in the melted butter, drizzle with the lemon juice and season with salt and pepper. Mix well. Cover and bake for 40 minutes.
Add the courgettes and stir the ingredients together. Return to the oven, uncovered, for a further 30 minutes. Beat the mascarpone with the eggs, garlic, half the Emmental and the milk. Pour over the baked vegetables and sprinkle with the remaining Emmental. Reduce the oven temperature to 150°C (300°F), Gas Mark 2, and return the dish to the oven for a further 30 minutes.
Serve with the reserved fennel fronds and parsley.