Prepare the Shrimp Stock: Heat 1 tablespoon of butter in a large pot over medium-high heat. Add ½ teaspoon of salt and the reserved shrimp shells. Stir frequently and cook until the shells develop golden spots, approximately 3 minutes. Pour in the white wine and Pernod, and let the liquid reduce almost completely, about 3 minutes. Add 6 cups of water, the thyme sprigs, and the bay leaf. Simmer the mixture uncovered for about 15 minutes. Strain the stock into a bowl, pressing the shells firmly to release all the liquid. Discard the shells and set the stock aside.
Cook the Shrimp: In the same pot, melt 2 tablespoons of butter and sprinkle in ½ teaspoon of salt. Add the shrimp and cook, stirring occasionally, until they turn pink, about 2–4 minutes depending on their size. Use a slotted spoon to transfer the shrimp to a bowl.
Sauté the Vegetables: Add the remaining 3 tablespoons of butter to the pot and let it melt. Toss in the celery, leeks, garlic, and chopped fennel, cooking until they soften, about 5 minutes. Stir in the rice, tomato paste, cayenne pepper, and 1 teaspoon of salt. Cook for another 2 minutes to combine the flavors.
Simmer the Bisque: Pour the prepared shrimp stock into the pot and stir everything together. Reduce the heat to medium-low, cover, and simmer until the rice becomes tender, roughly 20 minutes.
Blend the Soup: Reserve a few shrimp for garnishing, then return the rest to the pot. Allow the shrimp to warm in the soup for about 2 minutes. Working in batches, puree the soup in a blender until smooth, or use an immersion blender directly in the pot to achieve your preferred texture. If needed, return the blended soup to the pot and reheat gently. Add a squeeze of fresh lemon juice and adjust the salt to your taste.
Serve: Ladle the bisque into bowls and garnish with the reserved shrimp, celery leaves, and fennel fronds. Serve hot with crusty bread or your favorite side.