Trim any feathery tops from the fennel and reserve for garnishing the soup. Cut the bulbs into quarters. Finely chop one-quarter of the fennel bulb and place in a bowl with the lemon juice. Stir well and set aside for topping the cooked soup. Roughly chop the rest of the fennel.
Place the olive oil in a large saucepan. Add the onion and roughly chopped fennel, cover and cook over a medium heat for 5 minutes, shaking the pan occasionally. The vegetables should be slightly softened but not well browned.
Add the potatoes and mushrooms, stir well, then pour in the sherry and stock. Bring to the boil, reduce the heat, cover and simmer for 30 minutes, stirring once or twice, until the potatoes are tender and falling apart.
Purée the soup in a blender or food processor until smooth, or in the pan using a hand-held blender. Stir in the milk and lemon zest, season with freshly ground black pepper, then reheat if necessary. (If you are freezing the soup, do it at this stage.) Mix the reserved chopped fennel with the cheese. Ladle the soup into bowls, top with this mixture and garnish with the feathery fronds.