Add remaining tablespoon EVOO, carrot, celery and onion to the pot, stir 3-4 minutes then add fennel, 4 cloves garlic, bay, thyme, rosemary, salt and pepper, and stir a minute more. Sprinkle flour over the vegetables, stir a minute more then add wine and deglaze the pot, scraping and stirring 1 minute. Stir in chicken stock, saffron, red pepper, tomatoes and orange juice to the sauce. Scrape down pot and settle meat into pot. Cover and transfer to oven. Cook 2 hours, turning the meat once about halfway through.
When the meat is about ready to come out of the oven, combine orange and lemon zest parsley, remaining garlic and chopped or processed nuts.
Remove meat from oven. Split crusty bread and place in oven to warm through. Remove shanks to platter, cut off kitchen string. Place pot over medium-high heat, fish the bay leaf out of the sauce and whisk to combine and thicken, 4-5 minutes.
Serve shanks in shallow bowls topped with chunky sauce and some of the gremolata. Serve crusty bread for mopping alongside.