Preheat oven to 425 degrees. Heat 2 tablespoons of olive oil in a 12-inch ovenproof skillet over medium heat. Saute fennel until softened and light brown. Then add garlic and continue cooking. After a few minutes, add wine and bring to a boil. Once boiled, add tomatoes with their juices, add salt and pepper to taste, and stir. Spread the tomato mixture into an even layer in the skillet.
In a separate bowl, mix breadcrumbs, parsley, feta, and 2 tablespoons of olive oil. Place shrimp in a single layer on top of tomato mixture, sprinkle breadcrumbs mixture on top, and bake until shrimp are cooked through, about 12 to 15 minutes.