For the Herb Sauce: Heat EVOO over medium-low heat in a small pot or skillet and cook shallots seasoned with salt and pepper until very soft and tender, 8-10 minutes. Raise heat and add vinegar, water and sugar. Dissolve sugar into the vinegar then take off heat and stir in herbs. Serve at room temperature or chill.
Lay the pork down and cut it in half to yield two 7-8” pieces. Lay one pork loin fat-side down and top with the other pork loin with the fat side up, making sure the meat is touching the other side of the meat. Tie with butchers twine securely.
Make small incisions all over roast and fill with garlic and rosemary. Season roast with salt, pepper and fennel and refrigerate uncovered for several hours or overnight. Bring to room temperature to roast.
Preheat oven to 400°F. Bring roast to room temperature and coat with olive oil.
Line a roasting pan with foil and roast the pork for 30 minutes. Turn, add wine and roast 45-55 minutes more to an internal temperature of 145°F. Let stand covered with loose foil for 15 minutes then carve into 1/2-inch thick slices. Spoon pan juices over the slices and douse with lemon juice. Serve topped with herb sauce, passing additional sauce at the table.