Heat the grill to medium-hot.
To prepare the sauce, briefly heat the olive oil or canola oil in a large skillet that has a lid, add the onion or shallots, and sauté the vegetable for 2 minutes or until it softens. Add the fennel bulbs, orange liqueur, salt, and pepper, and sauté the ingredients until the vegetables are soft. Turn off the heat, and cover the pan to keep the sauce warm. Or, if you are making the sauce in advance, set it aside to be reheated before serving. Stir in the parsley and fennel leaves just before serving time.
Sprinkle the salmon with the salt and pepper, and spray the fish with the vegetable oil (or remove and spray the fish grate, if you are using one, and then replace it). Place the steaks on the hot grill. Grill the fish for about 5 minutes on one side, turn the fish, and grill the fish for 4 to 5 minutes on the second side.
While the steaks grill, reheat the sauce, if necessary, and add the parsley and fennel leaves if you have not already done so. Place ample portions of the sauce on individual platters, and top the sauce with the salmon.