For chicken: Zest lemon into food processor bowl; reserve juice for sauce. Add remaining ingredients except chicken and salt & pepper. Pulse into a thin paste, adding more olive oil if necessary. Reserve 3 Tbsp. for the sauce and transfer remaining paste to a large bowl. Add chicken and salt & pepper to taste. Toss to coat chicken in paste. Cover and refrigerate for 2 to 4 hours or up to overnight.
For sauce: Preheat oven to 350 degrees. Toss kale and capers with oil and salt & pepper. Bake on a cookie sheet for 5 min., stirring half way through. Let cool. Place reserved 3 Tbsp. paste in food processor with roasted kale and capers, yogurt, tahini, honey and reserved lemon juice. Pulse until smooth. Cover and refrigerate until ready to serve.
For skewers: Preheat well-oiled grill to medium-high. Cut fennel into pieces about the same size as chicken. Cut lemon into 1-inch segments. Thread alternating pieces of marinated chicken, fennel and lemon onto skewers. Brush skewers with olive oil before setting on the grill. Cook on one side for about 3 min. then flip and cook 3 more min. or until chicken is cooked through. Serve warm with sauce for dipping.