Heat oven to 450°F. Cut large fennel vertically into 8 wedges, and small bulbs into quarters. Toss fennel and lemons in a large bowl with sugar, salt and enough olive oil to coat. Place on a baking sheet in a single layer and roast for about 25 minutes, until fennel is golden brown and edges start to caramelize. Turn oven off but leave pan in oven to keep fennel warm.
While fennel cooks, pat scallops dry and, if present, remove the small hard muscle on the side of the scallops. Season with salt. Heat a large (at least 10” diameter) cast-iron pan over medium-high heat and coat with olive oil. When oil is hot and shimmering, add scallops in a single layer.
Cook scallops, without moving, until they develop a deep golden crust, about 2–3 minutes (check one after 2 minutes). As they cook, add butter and pine nuts to the pan, and spoon butter frequently over the scallops. The butter should turn very lightly brown, but neither the butter nor pine nuts should burn. If it seems too hot, remove pan from heat for a moment.
Place fennel and lemons on a platter or individual plates, and top with scallops. Spoon butter and pine nuts over scallops and garnish with reserved fennel fronds. Squeeze lemon over scallops before eating. Serves 4.