Preheat an outdoor grill or indoor grill pan or griddle to medium.
Combine the fennel, celery and scallions with half the lemon juice and just enough EVOO to lightly coat; season and top with the fennel fronds and capers.
Dress the shrimp with the remaining lemon juice, then season and coat with EVOO. Place a sage leaf on each shrimp along the line where it was deveined, then wrap each shrimp with a slice of pancetta, securing the sage. Drizzle the wrapped shrimp with a bit more of the EVOO and grill, turning occasionally, until the shrimp is firm and the pancetta is crisp, 8 to 10 minutes. Serve with the fennel salad.