Heat butter in a large pot and brown fennel. Set aside.
Preheat oven to 200°C (400°F). Place four double-layered squares of baking paper or aluminium foil on work top. Butter top side. On each square, stack a quarter of the fennel, four scallops, a quarter of the scallion, four tomatoes, a quarter of the beans and a quarter of the mushrooms. Sprinkle with wine and saffron. Dot 15 ml (1 tbsp.) butter in each papillote. Season to taste. Fold sides to close the papillote. Bake for 10 minutes.
To serve, transfer content of papillotes to a heated plate. Garnish with fresh dill.