Swordfish steaks are easy to grill because they don’t fall apart as they cook. The silky texture of the sautéd fennel contrasts well with the firm beefsteak-like fish. Lemons get sweeter when grilled. Squeeze a little juice over the fish and fennel, if you like, but try eating the lemon, rind included.
Soaking the fish in milk removes the “fishy” smell and has no perceptible effect on the flavor. This step is unnecessary if you happen to have truly fresh-caught swordfish.