Preheat the oven to 400 degrees F.
Spread the mushrooms, stem side up, on a baking sheet and roast for 5 minutes. Turn and continue roasting until tender, about another 5 minutes. Remove from the oven and let cool on the pan.
In the bowl of a food processor, combine the butter, garlic, lemon, salt, pepper and cayenne on high speed for 30 seconds. Transfer to a bowl and fold in the parsley. Transfer to a sheet of plastic wrap and roll into a tight log, about 1-inch in diameter. Refrigerate until hard, about 1 hour.
In a skillet, cook the bacon over medium-high heat until beginning to brown and the fat is rendered, about 6 minutes. Remove with a slotted spoon and drain on paper towels. Discard all but 1 tablespoon of fat from the pan. Cook the fennel and onions in the fat until soft, about 4 minutes. Remove from the heat and spread on a plate to cool.
In a bowl combine the goat cheese with the bread crumbs, pepper, garlic, thyme and salt. Add the cooled fennel-onion mixture and bacon, and mix well. Re-season as needed with salt and pepper.
Place 6 small, round baking dishes on a baking sheet. Place 3 mushroom caps, stem sides up, flat in the bottom of each baking dish. Place 1 snail inside each mushroom, and 3 snails in the dish between the mushrooms. Top each mushroom cap with about 2 teaspoons of the goat cheese mixture. Cut the compound butter log into thin slices and lay the slices across the baking dish, covering the snails and mushrooms. Bake until bubbly, about 10 minutes. Increase the heat to broil and cook until the cheese begins to turn golden brown around the edges, 1 to 2 minutes.
Carefully remove from the oven and serve immediately with hot French bread for dipping into the butter.
Yield: 6 servings