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Using your fingertips, gently crush the saffron threads before placing them in a small bowl with the warm water and stirring gently to mix. Cover the bowl and let it steep for 10 minutes.
Make the marinade: Place the olive oil, orange juice, lemon juice, garlic, cumin, salt, black pepper, and saffron water in a large mixing bowl and whisk well.
Add the shrimp and gently mix to coat it evenly. Let the bowl sit for 30 minutes to marinate.
Heat 1 tablespoon olive oil over medium heat in a large, heavy-bottomed skillet, preferably cast iron.
Place half of the shrimp in the hot pan in a single layer. Don't add extra marinade beyond what is coating the shrimp, or it could burn.
Fry the shrimp for 2–3 minutes per side, until opaque.
Remove the shrimp from the pan and set aside before frying the remaining shrimp, adding a little oil to the pan between batches if it seems too dry. Do not add any extra marinade.
Make the salad dressing: Combine the olive oil, vinegar, orange juice, honey, orange zest, and salt in a medium bowl. Whisk well.
Place the shrimp, fennel, chopped orange segments, and shallot in a large bowl. Toss to mix.
Arrange the lettuce on 4 salad plates, divide the shrimp mixture evenly on top of the lettuce, and drizzle with dressing.
Garnish with mint to serve.