Preheat oven to 350ºF.
Add olive oil to an oven-safe sauté pan or Dutch oven with a fitted lid over medium heat. Add onion; cook for about 10 minutes, until soft.
Stir in garlic, tomato paste, fennel seeds, cumin, cinnamon, and chili flakes (or black pepper); cook 3 more minutes, until the tomato paste is caramelized and spices are fragrant.
Add lentils, water, carrots, bay leaf, and salt; bring mixture to a boil. Cover, and transfer pan to preheated oven. Bake for 1 hour, until the lentils are tender and the liquid is mostly absorbed.
Meanwhile, prepare Marinated Feta by combining feta, dill, parsley, lemon zest and juice, and olive oil in a small bowl. Season with a pinch of salt and black pepper. Let sit at room temperature while lentils cook.
Remove lentils from the oven and give them a good stir. Remove bay leaf. Spoon marinated feta mixture overtop (if using), and serve with crusty bread.
