Toss the fennel and beets with the olive oil, salt and pepper. Transfer to a rimmed baking sheet and roast in the oven until tender and lightly browned, about 25 minutes, stirring halfway through cooking.
While the vegetables are roasting, place the lentils in a saucepan with 2 cups of water. Bring to a boil over high heat. Reduce the heat to low and simmer uncovered until the lentils are tender, about 20-25 minutes. Drain and set aside.
Combine all the ingredients for the sauce in a small bowl and whisk until smooth and creamy. Taste test and adjust seasonings if need be.
To serve, divide the lentils between 4 plates and top with the roasted vegetables. Drizzle with the sauce and garnish each plate with fennel fronds, parsley and dill. Season with additional salt and pepper.