Peel the prawns, leaving the tail shells on. Run a sharp knife along the length of each back and pull away the dark digestive thread. Rinse the prawns and pat them dry with kitchen paper.
Heat a small nonstick frying pan over a medium heat and dry-fry the fennel seeds for 1-2 minutes, then grind them coarsely in a spice mill or with a pestle and mortar. Whisk them together with 1 tablespoon of the lemon juice and the other ingredients for the dressing, adding more lemon juice to taste.
Heat the grill to medium-high. Toss the prawns in the oil and season to taste, then grill them for 2 minutes on each side, or until they turn pink and opaque.
Divide the prawns between four plates, pour over the dressing, garnish with chives and serve warm or at room temperature.
Variation: you could barbecue the prawns on skewers instead of grilling them, if you like, or cook them on a ridged, iron grill pan.