Melt 1 tablespoon of the butter in a large pot set over high heat. Add ½ teaspoon of the salt and the reserved shrimp shells, and cook, stirring frequently, until the shells are lightly browned in spots, about 3 minutes. Add the wine and Pernod, and boil until most of the liquid has evaporated, about 3 minutes. Then add 6 cups of water, the thyme sprigs, and the bay leaf, and simmer, uncovered, for 15 minutes. Strain the shrimp stock into a bowl, pressing on the shells before discarding them.

In the same large pot, melt 2 tablespoons of the butter with ½ teaspoon of the salt. Add the shrimp and sauté until they are pink, 2 to 4 minutes depending on their size. Using a slotted spoon, transfer the shrimp to a bowl.

Add the remaining 3 tablespoons butter to the pot. When it has melted, add the celery, leeks, garlic, and fennel, and sauté until they have softened, about 5 minutes. Stir in the rice, tomato paste, cayenne, and remaining 1 teaspoon salt, and sauté for 2 minutes. Add the reserved shrimp stock, cover the pot, and simmer until the rice is tender, about 20 minutes.

Set aside 4 to 6 nice-looking shrimp and stir the remainder into the bisque; let them cook for 2 minutes. Working carefully and in batches, pour the bisque into a blender and process it to a smooth puree or pulse it to a chunky mixture, as you like. (Or use an immersion blender to puree the soup.) Return the bisque to the pot. Stir in the lemon juice and salt to taste. Reheat the soup if necessary before serving.

Serve the soup garnished with the reserved shrimp, the celery leaves, and fennel fronds.