Mix together the fennel, coriander, mustard, 3/4 teaspoon salt, cinnamon and red pepper and pat all over the chicken.
Heat the barbecue until the coals are covered with ash. Place the thighs skin side down on the rack, cover and cook until the skin is crisp, about 10 minutes. Turn the chicken and cover. Cook another 10-15 minutes until done.
Meanwhile, in a small bowl mix all the lemon sauce ingredients. Serve the chicken and drizzle with the sauce.