Heat 1/4 cup olive oil in a low, wide stockpot over medium heat. Add onion, fennel, and garlic. Cook until onion is translucent, 3 to 4 minutes. Stir in thyme, oregano, red-pepper flakes, bay leaf, and saffron.
Add tomatoes and their liquid, wine, clam juice, and 1 1/4 cups water, and bring to a simmer.
Add clams and mussels; cover, simmering until shells open, 3 to 5 minutes. Season fish and shrimp with salt and pepper, and add to the pot. Cover, and simmer until fish is opaque and shrimp turn pink and begin to curl, 2 to 3 minutes.
In a small food processor, combine parsley, orange zest, orange juice, capers, and remaining 1/4 cup olive oil; process until smooth.
Remove pot from heat. Taste and adjust for seasoning. Serve with a dollop of the parsley mixture and the grilled bread.