Preheat your oven to 425°F / 220°C.
Cook the lentils: In a medium saucepan, combine the Puy lentils, vegetable broth, 1½ cups / 360 ml (12.2 fl oz) water, and the bay leaf.
Bring to a boil over high heat.
Once boiling, cover the pot, reduce the heat to low, and simmer for 20 to 25 minutes until the lentils are tender but still firm.
Drain any remaining liquid, discard the bay leaf, and transfer the lentils to a large serving bowl.
Roast the vegetables: On a large baking sheet, toss the fennel, bell pepper, and red onion with 1 Tbsp / 15 ml of olive oil and a pinch of salt and pepper.
Keep the scallions separate on the sheet (or use two sheets if needed).
Roast for 15 to 20 minutes, stirring once, until the vegetables are tender and have golden-brown edges.
Add the roasted fennel, pepper, and onion to the bowl with the lentils, setting the roasted scallions aside for garnish.
Make the vinaigrette: In a small bowl, whisk together the remaining 1 tsp / 5 ml olive oil, orange zest, orange juice, sherry vinegar, ¼ tsp sea salt, and a pinch of black pepper.
Assemble the salad: Pour the vinaigrette over the warm lentil and vegetable mixture.
Add the chopped parsley and toss everything gently to combine.
Transfer to a platter, top with the reserved roasted scallions, and serve.
Don't have Puy lentils? Regular brown or green lentils will work, but be careful not to overcook them as they can become mushy.
Reduce the cooking time slightly and check for doneness often.