Prepare Bone Marrow Bones: Soak bone marrow bones in salt water for 6 to 12 hours, changing the water twice to draw out blood and purify the marrow.
Roast Bone Marrow: Preheat oven to 425°F (220°C). Roast the soaked bones for 20 to 25 minutes until the marrow is bubbling and soft.
Slice Vegetables: While bones roast, thinly slice onion, garlic, and fennel to ensure they will soften and melt when cooked.
Extract Bone Marrow: Remove bones from oven and let cool slightly. Use a knife to scoop out the bone marrow into a bowl.
Make Bone Marrow Butter: In a food processor, blend the extracted bone marrow with unsalted butter, lemon zest, fresh thyme, salt, and pepper until emulsified and smooth.
Prepare Mussel Broth: Use the fat rendered from roasting the bone marrow bones to sauté the sliced onion, garlic, and fennel over medium heat. Sweat the vegetables gently without browning.
Deglaze and Cook Mussels: Add dry white wine to the sautéed vegetables and cook off the alcohol for 2 to 3 minutes until aromatic. Add cleaned and debearded mussels, cover, and cook for 2 to 5 minutes until mussels open. Discard any mussels that do not open.
Finish Broth: Add red chili flakes and a portion of the bone marrow butter to the mussel broth. Emulsify by gently shaking or stirring to combine.
Serve: Serve mussels and broth over thick toasted sourdough bread. Garnish with fresh parsley and finish with black pepper and lemon wedges on the side.