To cook the sausage: Preheat oven to 375 degrees with a rack in the center.
Heat the oil in a large skillet over high heat until shimmering, about 2 minutes. Add the sausage and cook, breaking it into very small pieces with a wooden spoon, until browned and cooked through, 8 to 10 minutes. Using a slotted spoon, transfer the sausage to a medium bowl and stir in the lemon zest and rosemary.
To make the cheese mixture: Add the fennel and onion to the skillet. Cover and cook over medium-low heat until softened, stirring occasionally, 8 to 10 minutes. Remove the lid and cook, stirring occasionally, until lightly browned, 10 to 12 minutes. Add a few tablespoons of water to the skillet from time to time, as needed, to prevent sticking. Season with the salt and pepper and add to the sausage. Stir in half of the Parmesan and two- thirds of the Fontina.
To assemble the lasagna rolls: Spread 1/2 cup béchamel in the bottom of an 8- by 11-inch (2-quart) glass or ceramic baking dish. Arrange the noodles on a clean work surface side by side, vertically. Brush a very thin layer of béchamel on the noodles, then divide the sausage-fennel filling evenly among them. Starting at the bottom, roll each noodle away from you as tightly as possible to create a spiral. Set each roll in the baking dish side by side snugly so that they don't unravel. Tuck in any stray filling.
To bake the lasagna rolls: Pour the remaining béchamel all over and sprinkle with the remaining Parmesan and Fontina. Bake until golden and bubbling, about 45 minutes. Let rest for 20 minutes before serving.