Using kitchen shears, slice open one side of date. (if pitted remove pit)
Cut cheese into date-sized sticks; about 1/4-in x 3/4-in for small dates OR 1/2-in x 1 1/4-in for Medjool dates. Set aside.
Place fennel seeds in dry skillet over medium heat and toast for 5 minutes – being cautious not to burn. Set aside.
Zest 1 orange into a medium bowl. Using a knife, remove peel of the zested orange plus 1 more orange. Cut orange into bite-sized pieces.
Juice 2 more oranges. Add water to orange juice to yield 1 1/3 cups juice.
In a medium saucepan, whisk together orange juice, cornstarch, honey and optional wine. Bring to a boil over medium-high heat, stirring constantly. Cook 2 minutes more over medium heat until thickened. Stir in fennel and salt.
Serve orange sauce with dates or nestle dates in sauce and serve with toothpicks/forks alongside.