In a large pot over high heat, cook shrimp shells in 1 tablespoon butter and 1/4 teaspoon salt, stirring frequently, until lightly browned in spots, about 3 minutes. Add wine and brandy and boil until most of the liquid is evaporated. Add 6 cups water, thyme and bay leaf and simmer, uncovered, for 15 minutes. Strain shrimp stock into a bowl, pressing on shells before discarding them.
In same pot, melt 2 tablespoons butter with 1/4 teaspoon salt. Add shrimp and sauté until they are pink, 2 to 4 minutes depending on size. Using a slotted spoon, transfer shrimp to a bowl.
Add remaining 3 tablespoons butter to pot along with celery, leeks, garlic and fennel and sauté until softened, about 5 minutes. Stir in the rice, tomato paste, cayenne and remaining salt and sauté for 2 minutes. Add shrimp stock and simmer, covered, until rice is tender, about 20 minutes.
Set aside 4 to 6 nice-looking shrimp and stir remainder into bisque; let cook for 2 minutes. Working carefully and in batches, pour bisque into a blender and process to a smooth purée or pulse to a chunky mixture, as you like. (You may use an immersion blender to purée soup.) Return bisque to pot. Stir in the lemon juice and additional salt to taste. Reheat if necessary before serving. Garnish each bowl with a shrimp and a piece of fennel frond.