In a small skillet over medium-high heat, toast the fennel seeds until fragrant, about 2 minutes. Transfer to a mortar or spice grinder. To the empty skillet, add the chiles and toast, turning occasionally, until fragrant and darkened slightly, about 2 minutes. Turn off the heat. When cool enough to handle, seed and coarsely chop the chiles, then add to the mortar or grinder along with the chile flakes. Grind to a coarse powder. Transfer to a small bowl and stir in the salt, rosemary, orange zest, lemon zest, and garlic.
Rub the leg all over with the spice mixture, then wrap in plastic and refrigerate for 2–3 days, turning halfway through curing.
One hour before roasting, transfer the leg to a large roasting pan and set aside at room temperature. Position a rack in the lower third of the oven and preheat to 300°F. Bake until lightly browned and an instant-read thermometer inserted into the thickest part of the leg reads 130°F, 3–4 hours. Remove from the oven and set aside for 1 hour.
Turn the oven to 500°F and continue roasting the venison, rotating the pan every 15 minutes, until crisped and cooked (130°F for medium-rare, 135°F for medium), 20–35 minutes. Rest at room temperature for 15 minutes before carving and serving.
