Finely chop fennel seeds, lemon peel, rosemary, peppercorns, and bay leaves in a food processor. Transfer 3/4 cup of mixture to a bowl; stir in oil.
Heat broiler with rack in middle of oven. Place lamb on a rimmed baking sheet; rub with oil. Broil until browned, flipping once, about 10 minutes. Transfer to a wire rack set on another baking sheet; let cool. Reduce oven to 350 degrees.
Combine remaining herb mixture with salt in a large bowl. Stir in egg whites and 1 cup water. Rub herb oil over lamb. Mound 3 cups of salt mixture in middle of a roasting pan. Place lamb on top. Pack remaining salt on lamb to cover as best as possible. Bake until a thermometer inserted in thickest part (without touching bone) registers 145 degrees, about 90 minutes. Remove salt crust, brushing off bits. Let lamb stand 30 minutes; carve and serve, with lemon wedges.