- Make the glaze: Combine all ingredients in a small saucepan and set aside for 1 hour.
- Make the quail: Meanwhile, preheat oven to 350 degrees. Let quail come to room temperature, then clip wings with a sharp knife or kitchen scissors. In a cast-iron skillet over medium heat, warm 2 tablespoons olive oil. Add fennel, shallot, garlic, and chili powder, and season with salt and pepper. When fennel and shallot begin to soften (but not brown), remove from heat and let cool slightly.
- In a mixing bowl, combine fennel mixture with ground sausage. Add parsley, thyme, fennel fronds, cheese, breadcrumbs, and egg. Mix until combined. Stuff quail with pork mixture and tie legs closed with twine.
- Wipe out pan and heat remaining 2 tablespoons of oil over medium-high heat. Season quail generously with salt and pepper, and brown on all sides, 2 to 3 minutes per side. Position quail breast-side up and transfer pan to oven. Roast for 7 to 8 minutes. Cook until golden brown and juices run clear or a thermometer inserted into the bird’s thigh reaches 165 degrees. When out of oven, immediately flip birds over to get final sear on breast meat.
- Finish the glaze: Once glaze has sat for 1 hour, simmer over low heat until liquid is reduced by half. Place quail breast-side up on a plate or serving platter and drizzle with glaze.