Certified GKH Gardening Expert
Black swallowtail caterpillars are notorious for munching on fennel but that doesn't look like one. The ladybug larvae is also black and red but doesn't look so much like it either. Looks more like a milkweed bug, which is red and black.
If it is a black swallowtail caterpillar it will eat lots of the foliage but shouldn't kill the plant. The ladybug larva will eat the aphids on your fennel so is benneficial. The milkweed bug eats parts of milkweed so I don't know why it is on your fennel unless you have milkweed nearby. It won't harm your other plants.