Preheat oven to 425 degrees. Clean and separate cauliflower sprigs. ash, trim, and quarter fennel. Peel onions and quarter. Put vegetables in large bowl and toss with extra virgin olive oil; sprinkle with salt and pepper.
Roast vegetables until cauliflower is al dente and slightly golden, about 15-20 minutes. Fennel and onion will be tender. Remove from oven.
Add vegetables and cheese to medium size baking dish. Add cream, salt, and pepper. Bake until cheese melts and cream thickens, about 15 minutes.