Cook shrimp in a large pot of simmering salted water until bright pink and cooked through, about 3 minutes. Drain and let cool. Peel and devein shrimp, leaving tail on and place in a large bowl.
Add fennel, fennel fronds, cucumber, onion, and lemon juice and toss to combine. Season with salt and pepper. Drizzle with oil and toss to coat.
Add dill and lemon zest and toss again; season with more salt, pepper, and lemon juice, if desired.
Salad can be made ahead. Cover and chill.