Preheat oven to 190 degrees C. Halve all capsicums lengthwise, remove seeds and place, cut side up, in a shallow baking dish. Place one garlic clove in each half and squeeze lemon juice generously over capsicums. Roast for 1 hour, until soft. Remove from oven and set aside to cool.
Meanwhile, pour vegetable stock into a 2-litre saucepan and add fennel seeds. Bring to the boil, cover and simmer.
When capsicums are cool enough to touch, remove skin. Cut a large slice from each capsicum and dice. Set aside for garnish.
Sieve fennel seeds from stock and return to the boil. Add thyme and simmer 15 minutes, reducing amount of stock.
In a blender, process remaining capsicums, garlic and 7 tablespoons of hot stock just long enough to chop the capsicums but not purée them; you want to be able to see the different colours.
Pour the blended capsicum into the stock and stir well. Add black pepper to taste and diced capsicum for garnish, and serve immediately. Do not cook any longer as the colours will fade.