Peel and dice the Shallots finely and put them in a small bowl with the vinegar, orange juice and salt. Let the mixture sit for 10 minutes and then whisk in the olive oil.
With a sharp paring knife, trim off the top and bottom of each orange. Pare off the rest of the peel, making sure to remove all of the pith while wasting as little orange as possible. Slice crosswise into 1/2" rounds. Place Radicchio leaves on a plate and arrange the orange slices and Fennel over them. Drizzle the dressing evenly over the entire salad and grind a little black pepper over it.
Serve immediately. Serves 6.