Season the chicken with salt and pepper. Heat the fat in a sauté pan and, working in batches, brown the meat on all sides. Remove. Drain off all but a tablespoon of fat from the pan. Lower the heat and add the julienned pepper, onion, fennel (if using), and paprika. Cook until soft, but not coloured, about 12 minutes, adding the garlic for the final minute. Deglaze the pan with the wine. Add the tomatoes and bay leaf. Season with salt and pepper. Put the chicken back in. Cover the pan, and cook, turning the meat occasionally, until tender, about 30 minutes.
Remove the chicken to a serving platter and cover with foil to keep warm. Turn up the heat under the sauce and boil down to sauce consistency. Turn off the heat, stir through the cream, check the seasonings (including the paprika, adding more if you like), then pour over the chicken, and serve.