Step 1Heat the oven to 375 degrees and butter a 9-by-13-inch baking dish. In a medium saucepan, combine the milk, fennel seeds and black pepper. Heat over high heat until just before the milk reaches a simmer. Remove from the heat and allow to cool.
Step 2Remove the sausage from its casings and break apart into small pieces in a medium saute pan. Cook over medium heat until the sausage is thoroughly cooked and beginning to brown. Remove the sausage from the pan and set aside on a plate covered with a paper towel to absorb excess oil.
Step 3Wipe out the pan and heat the 2 tablespoons of butter and the olive oil over medium heat until frothy. Add the fennel and cook until caramelized, about 20 to 25 minutes. Add the shallots and salt and cook for an additional 2 minutes, stirring frequently. Remove from the heat and set aside.
Step 4In a large bowl, whisk the eggs. Whisk in the cooled milk and then stir in the bread, sausage, fennel mixture and parsley until well combined. Pour the mixture into the baking dish, pressing down to make sure the bread is submerged. Let the mixture sit for about 15 minutes while the bread absorbs the liquid.
Step 5Bake for 35 minutes, until golden brown, rotating once for even cooking. Serve immediately.