Make the vinaigrette: Combine shallot, fennel seeds, vinegar, and orange juice and zest in a small bowl and let it rest 5 minutes to macerate. Add a pinch of salt and the olive oil and taste to adjust.
Build the salad: Toss the chicories and fennel with salt and pepper and a few spoonfuls of the vinaigrette. Taste and adjust the seasoning. Top with citrus segments and some tablespoon-sized scoops of avocado. Drizzle more dressing over the avocado and citrus, and enjoy!