Place an oven rack in the center of the oven and preheat to 400 degrees F. Spray a small baking sheet with vegetable oil cooking spray.
Toss the fennel, oil, salt and pepper in a medium bowl. Arrange the fennel in a single layer on the baking sheet. Roast until golden and tender, about 30 minutes. Set aside to cool.
Bring a large pot of salted water to a boil over high heat. Add the pasta and cook until tender but still firm to the bite, stirring occasionally, 8 to 10 minutes. Drain and reserve about 1 cup of the pasta water.
Heat the oil over medium-high heat in a large skillet. Add the sausage and break into 1/2-inch pieces using a wooden spoon. Cook until golden and cooked through, about 6 minutes. Add the onion, salt and pepper. Cook, stirring occasionally, until soft, about 5 minutes. Add the garlic and wine and scrape up the brown bits that cling to the bottom of the pan with a wooden spoon. Cook until all of the wine has evaporated, about 1 minute. Add the tomatoes, parsley and capers. Cook for 30 seconds. Add the pasta, fennel and cheese. Toss until all ingredients are coated, adding the reserved pasta water as needed, to loosen the pasta.