Step 1: Combine the pimentón, salt, cumin, mustard, fennel seed, and black pepper in a small bowl. Lightly coat the drumsticks with olive oil, then place in a large resealable plastic bag. Sprinkle the spice mixture over the drumsticks, turning with your hands to coat evenly. Refrigerate for 4 to 8 hours.

Step 2: When ready to cook, set up the grill for indirect grilling and heat to medium-high. Brush or scrape the grill grate clean and oil it well. Arrange the drumsticks, rounded side up, on the grate. Grill until they are cooked through, about 45 minutes, turning as needed with tongs. To test for doneness, insert the probe of an instant-read thermometer into the thickest part of the drumstick, parallel to (but not touching) bone. The temperature should be 170 degrees.

Step 3: In the meantime, make the glaze: Melt the butter in a small saucepan over medium-low heat. Add the garlic and cook for 2 to 3 minutes. Whisk in the piri-piri sauce, the lemon juice, and honey and bring to a simmer. Keep warm.

Step 4: Trim the fennel bulb, reserving the stalks. Cut the bulb in half lengthwise. Core, then slice the fennel lengthwise into 1/2-inch wedges. Finely chop some of the feathery fronds for the Blue Cheese Dip and a garnish.

Step 5: When the drumsticks are almost done, brush them on all sides with the glaze. (Re-whisk the glaze if necessary.) Continue grilling for 5 to 10 minutes more.

Step 6: Arrange the drumsticks on a platter with the fennel and chopped fennel fronds. Serve with the Blue Cheese Dip.