Toast pine nuts in a wide (not nonstick) frying pan over medium heat until lightly toasted, about 3 minutes. Pour into a medium bowl and set aside.
In the same pan, heat 1 tbsp. olive oil over medium heat until just warm and add panko. Toast panko, stirring occasionally, until a shade darker, about 5 minutes. Add anchovies and garlic; stir to combine well.
Add panko mixture to pine nuts. Stir in 1/4 tsp. salt, the lemon zest, and parsley.
Preheat a gas or charcoal grill to high (you can hold your hand 1 to 2 in. above cooking grate only 2 to 3 seconds). Cut each radicchio head in half, cut each half into 3 wedges, and brush cut sides with olive oil. Skewer wedges onto metal skewers, 3 per skewer. Grill radicchio skewers (close lid on gas grill), 2 minutes.
Turn radicchio skewers over. Brush fish on both sides with olive oil and grill, skin side down, 3 to 4 minutes (close lid on gas grill), or until they look opaque (cut to test) and loosen easily. Using 2 spatulas, gently turn fish over (close lid on gas grill) and cook 1 minute more. Transfer fillets to plates and radicchio to a cutting board. Season fish with salt, pepper, and a few drops of lemon juice to taste.
Remove skewers from grilled radicchio and chop radicchio roughly. Toss with remaining lemon juice and remaining 1/2 tsp. salt. Stir remaining 3 tbsp. olive oil into bread crumbs and spoon over flesh side of fish. Serve fish with radicchio.
Note: Nutritional analysis is per serving.