Preheat the oven to 425ºF. Place butternut squash and fennel on a baking sheet and drizzle with olive oil. Sprinkle with salt and pepper and toss to combine. Roast on the center rack for 35 - 40 minutes until the butternut squash is golden brown and tender, making sure to flip halfway through.
While the vegetables are roasting, add the lentils, broth and bay leaves into a small saucepan. Bring the mixture to a boil, then cover and reduce to simmer for 35 - 40 minutes.
Meanwhile, wash and stem the kale leaves. It's easiest to do this by placing the leaf with the stem facing up and using a small knife to slice the leaves off. Then finely slice the leaves into thin strips. Add to a large bowl.
Using a mandolin slicer, or very sharp knife, finely shred the radicchio and brussels sprouts. Add them to the bowl as well.
For the dressing, whisk together all the ingredients until smooth and creamy. Taste and adjust the salt and pepper if needed. Pour half the dressing over the bowl ingredients and toss to combine.
Once the vegetables and lentils are done, allow them to cool for at least 10 minutes. Thinly slice the fennel, then add this along with the squash and lentils into the salad. Add the rest of the dressing and toss to combine.
Serve immediately or keep in the fridge for 1 - 2 days.