Heat a gas grill to medium-high.
To make the patties, combine all of the ingredients in a large bowl. Form into 6 patties, being careful not to overwork the meat. Make a slight indentation in the center of the patties so that they will cook evenly. Cover and refrigerate.
To make the aioli, combine all of the ingredients in a mini food processor and blend until smooth. Cover and refrigerate until ready to assemble the burgers.
To make the slaw, first juice enough of one of the oranges into a medium bowl to equal 3 tablespoons. Set aside. Cut the tops and bottoms off the remaining 2 oranges, then slice off the skin, following the curve of the fruit. Slice out each of the orange segments and place them in a medium bowl. Using a mandoline set on the thinnest setting or a very sharp knife, thinly slice the fennel bulb into rings. Add the sliced fennel, fronds, and parsley to the orange segments. Whisk the vinegar together with the reserved juice. Slowly whisk in the oil. Season with the salt. Pour the dressing over the slaw and toss to combine. Cover and set aside until assembling the burgers.
Brush the grill rack with vegetable oil. Place the patties on the rack, cover, and cook until cooked through, 4 to 6 minutes on each side. During the last 3 minutes of cooking, place a slice of cheese on each patty. During the last 2 minutes of cooking, place the rolls, cut side down, on the outer edges of the rack to toast lightly.
To assemble the burgers, spread some of the aioli on the cut sides of the roll tops. Place a cheese-topped patty on each roll bottom and top with a mound of slaw. Add the roll tops and serve.