Use a 900g loaf tin. Lightly grease the tin. Sift flours and salt into a bowl; tip in any bran left in the sieve. Stir in sugar and fennel seeds. Make a well in the centre.
Gently heat the milk with the butter until the butter melts. Sprinkle yeast onto the liquid to dissolve. Pour yeast mixture into the well. Gradually draw the flour into the liquid ingredients to make a soft dough.
Turn dough out onto a lightly floured work surface and knead for 10 minutes or until the dough is smooth and no longer sticky. Shape into a ball, place in a greased bowl and cover with a damp cloth. Leave dough to rise in a warm place for 1–1 1/2 hours or until doubled in size.
Preheat the grill to high. Grill the capsicum halves, skin side up, until slightly blackened. Place in a polythene bag and leave to cool; peel off the skins. Slice capsicum into long strips.
Turn out dough onto a lightly floured work surface and knock back; knead briefly until smooth. Roll out into a 20 × 33cm rectangle. Spread with sun-dried tomato paste, leaving a 1 cm border all round. Cover dough with a single layer of the capsicum strips and red onion slices. Sprinkle 2 tablespoons Parmesan cheese evenly on top.
Roll up the dough firmly from a short side, to resemble a Swiss roll. Tuck the ends under. Place in the loaf tin. Cover and leave in a warm place for 30 minutes or until risen and springy to the touch.
Preheat oven to 230 degrees C. Uncover the loaf and make several incisions across the top with a sharp knife. Brush with the olive oil and sprinkle with remaining Parmesan cheese. Bake for 15 minutes; reduce temperature to 200 degrees C. Bake for a further 20–25 minutes or until the loaf is risen and golden brown and sounds hollow when tapped on the base.
Turn loaf out onto a wire rack and leave to cool. This loaf is best eaten on the day it is made.