Inspect mussels and discard any that are open or do not close when squeezed. Place in large stock pot with white wine, garlic and parsley (leave whole). Bring to a boil, then cover immediately and reduce to medium heat for 5 minutes. Remove from heat and keep covered while you do the other prep work.
Dice the onion. Slice the pepper into strips after removing seeds and stem. Chop the oregano and sage.
Grind the fennel seeds with a mortar and pestle (you could pound them or use a food processor). The seeds should be fully crushed with no whole seeds remaining.
Remove the mussel meats from the shells and hold them aside. Remove any beards that are noticeable. Discard the shells and parsley stalks, but reserve the broth for later.
Add the olive oil to a large skillet on medium heat. Sauté the onion till browned at the edges then add peppers and the ground fennel. Sauté another 5 minutes, then add the sage and sauté another 2-3 minutes.
Add the mussel meats and the oregano to the sauté and toss so that the flavors mix - about 1 - 2 minutes, then add the tomato sauce and tomato paste. If you like a thinner sauce, add some of the mussel broth at this time. Stir together, add the hot pepper and paprika, then reduce to a simmer till heated through.
Once the sauce bubbles, remove from heat and allow to cool 2 - 3 minutes before transferring to a serving dish and tossing in the crumbled feta cheese. Garnish with fresh parsley and serve family style.