In a medium saucepan bring the milk, cream and crushed fennel seeds to a light simmer over medium heat. Cover, shut off the heat and let steep for 20-30 minutes.
Strain out the fennel seeds and bring the milk, cream and sugar to a light simmer over medium heat while stirring. Once the sugar is melted turn off the heat.
In a medium bowl, beat the egg yolks. Using a ladle, temper the egg yolks with the warm fennel milk mixture (by adding a little of the hot mixture at a time). Once tempered add the egg yolk mixture to the fennel milk mixture and cook over medium-low heat, stirring constantly until thickened (mixture coats the back of spoon) and a thermometer registers 175-180 degrees F.
Strain the mixture through a sieve and stir in the sea salt. Place plastic wrap over the top of the mixture and chill in the refrigerator, about 30 minutes to 1 hour. Alternatively chill over an ice bath.
Once chilled, pour the gelato base into the bowl of an ice-cream maker and process according to manufacturer's instructions.
Freeze for 20-30 minutes prior to serving.
Can be made several days ahead of serving. If making ahead, pull out of the freezer 10-15 minutes prior to serving to soften.