If desired, set aside some of the fennel leaves for garnish. Heat oil and butter in a large pot over medium heat. Add the chopped fennel, leeks, and carrot; cook about 8 minutes or until tender. Stir in wild rice, salt, and pepper. Cook and stir 1 minute more. Add broth and the water. Bring to boiling; reduce heat. Simmer, covered, 40 to 45 minutes or until the rice is tender. Whisk together milk and flour in a small bowl. Whisk the milk mixture into the soup along with chopped thyme. Cook and stir until the soup is thickened and bubbly. Stir the shrimp into the soup. Simmer, uncovered, 2 to 3 minutes or until the shrimp are opaque. Stir in sherry. If desired, garnish with the reserved fennel leaves and/or thyme sprigs.