Adjust oven rack to middle position and preheat oven to 450 degrees.
Line a baking sheet with parchment paper.
In a food processor, pulse flour, sugar, baking powder, baking soda, salt, butter, and shortening together until mixture resembles coarse meal, approx. 15 pulses.
Transfer to large bowl and stir in buttermilk until combined.
On a lightly floured counter, turn out dough. Knead until smooth, approx. 8–10 times. Pat dough into 9-inch circle, approx. 3/4-inch thick. Using a 3-inch biscuit cutter dipped in flour, cut rounds of dough (do not twist cutter) and arrange on prepared baking sheet.
Gather remaining dough, pat into 3/4-inch thick circle, and cut out remaining biscuits.
(There should be 8 biscuits total). Bake until biscuits begin to rise, approx. 5 minutes, then rotate pan and reduce oven temperature to 400 degrees.
Continue baking until golden brown, approx. 12–15 minutes, then transfer to wire rack and let cool.
(Biscuits can be stored in zipper-lock bag for up to 2 days).
In a small bowl, combine flour, fennel, sage, and pepper.
In a large skillet over medium-high heat, cook sausage until no longer pink, approx. 8 minutes.
Break up any clumps with a wooden spoon.
Sprinkle flour mixture over sausage and cook, stirring constantly, until flour has been absorbed, approx. 1 minute.
Slowly stir in milk and simmer until gravy has thickened, approx. 5 minutes.
Season with salt to taste. Serve over split biscuits.