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Finely mince the onion.
In a large saucepan over medium heat, melt the butter, then saute onion for 3 minutes until tender. Add the fennel, thyme, and cayenne and saute for 1 minute over medium heat until fragrant.
Add the flour and cook for 4 to 6 minutes, stirring frequently, until the color turns to golden and then to a medium brown (this is called a roux).
Reduce the heat to medium low. Add the vegetable broth and stir until smooth and thickened. Drizzle in the milk, stirring constantly, making sure each bit is incorporated before adding more. Then stir in the salt. Stir until thickened, about 5 minutes. Remove from the heat; the gravy will continue to thicken as it cools. Taste and add an additional pinch or two of salt as necessary.