Preheat oven to 180 degrees C. Grease a baking dish and sprinkle with breadcrumbs.
Place a steamer insert into a saucepan and fill with water to just below the bottom of the steamer. Bring water to the boil. Add fennel wedges, cover and steam until tender but still crisp, about 10 minutes. Drain and transfer to the baking dish.
Melt butter in a large pan over medium heat. Stir in flour to make a soft paste. Gradually whisk in milk; simmer until sauce is creamy and thick, 5 to 6 minutes. Season with salt, pepper and nutmeg.
Pour sauce over fennel in the baking dish. Sprinkle Parmesan cheese on top.
Bake in the preheated oven until golden, about 20 minutes. Grill until top is browned, 2 to 3 minutes. Let stand before serving, about 5 minutes.