Trim root end and stalks from fennel bulb; reserve some feathery fronds for garnish. Chop bulb to make about 4 cups.
In a large saucepan over medium-high heat, melt butter, add onion, and cook until limp, about 5 minutes. Add broth, fennel, and apple. Cover and bring to a boil; reduce heat and simmer until fennel is soft when pierced, 15 to 20 minutes. Stir in watercress and cook until wilted.
Purée soup in a blender in batches, holding lid down with a towel. Pour back into pan, thin with more broth if you like, and reheat. Season with salt and freshly ground black pepper.
Serve topped with fennel fronds and crumbled blue cheese.
Note: Nutritional analysis is per serving.