Preheat the oven to 250°C (approximately 485°F). Cut the shells of the chestnuts with a sharp knife. Bake in the oven until the shells have opened. Remove the chestnuts from the oven and peel. Place the chestnuts in a saucepan and cover with water. Add the orange juice and 1/2 teaspoons of fennel seeds. Bring to a boil for 5-8 minutes. Cook until the chestnuts are tender, prick with a sewing needle to check if they are tender. Let cool in the cooking water. Drain well.
In the meantime, bring the water with the sugar and lemon juice to a boil, until syrupy. Cook for about 4 minutes. Remove from the heat and let cool. Place the chestnuts in jars and cover with the syrup. Place a piece of lemon peel and an open vanilla bean in each jar and seal well. Seal for at least 20 minutes.
Allow to cool and store a dark, cool place.
Serve the chestnuts with sugar syrup.