Heat small skillet on medium heat. Add fennel seed; cook and stir 1 minute or until fragrant. Immediately pour out of hot pan to avoid over-toasting. Finely crush seeds using a rolling pin or a mortar and pestle. Reserve 1 tablespoon for the Romesco Sauce.
Mix remaining fennel seed and egg in large bowl. Let stand 5 minutes. Add 1/4 cup of the parsley, onion, bread crumbs, preserved lemon and pepper; mix until well blended. Add lamb; mix gently. Shape into 6 patties.
For the Romesco Sauce, place garlic in blender or small food processor; cover. Process until chopped. Add roasted red pepper, almonds, remaining 1/4 cup parsley, oil, peri-peri sauce and reserved crushed toasted fennel seed; cover. Process until smooth. Set aside.
Grill burgers over medium heat to desired doneness. (For medium doneness, cook 4 to 5 minutes per side.) Serve in pita breads with baby spinach or other greens, and cucumber and tomato slices. Serve with Peri-Peri Romesco Sauce