Combine the ingredients for the marinade in a large bowl or a Ziploc bag and set aside.
Add the fennel bulb, zucchini, bell pepper and shallots to the marinade, along with the chicken pieces, clementine slices, thyme, and fennel seeds. Rub the marinade all over the chicken and vegetable pieces. Marinate in the fridge for a few hours or overnight. You can skip the marinating step if you are pressed for time. Note: I typically do not marinate sweet potatoes with the chicken as they take a lot of space. They will be added just before baking.
Preheat the oven to 475F. Transfer the chicken and its marinade to a baking sheet large enough to accommodate everything comfortably in a single layer. Place chicken breasts skin side up. Add the sweet potatoes. You can rub the sweet potatoes in marinade before placing them on the baking dish. Put the pan in the oven and roast for 35 to 45 minutes, until the chicken breasts reach internal temperature of 165F. Remove from the oven.
Carefully transfer the chicken, the clementines, and the vegetables to a serving plate. Cover and keep warm.
Pour the liquid from the baking pan into a saucepan. Bring to a boil over medium-high heat and simmer until the sauce is reduced by about one-third and thickened. It should have the consistency of thin gravy.
Pour the thickened sauce over the chicken and serve immediately.