In a large bowl, combine the grated shallot with the vinegar, honey and ground fennel; season with salt and pepper. Whisk in the EVOO; adjust the seasoning. Toss with the radicchio, endive, romaine, nuts and sage; season.
In a large skillet, heat the olive oil, two turns of the pan, over medium-high. When the oil starts to smoke, add the shrimp and lemon and cook until the shrimp are pink at the edges and almost opaque in the center, 4 to 5 minutes. Add the garlic, chile and fennel seed and toss until the shrimp are cooked through, 1 to 2 minutes. Add the vermouth; cook until sauce reduces slightly.
Divide the salad among shallow dishes. Top each serving with 6 shrimp.