Slice the tops off of each of the bell peppers and remove the seeds. Place peppers on foil lined baking sheet, and broil about 4 inches from heat for 12 to 15 minutes or until charred. Turn to brown all sides. After they are browned, place the peppers in a plastic bag to sweat for about 30 minutes, and then remove the skin.
Meanwhile cut the eggplant into 1/2 inch slices and sprinkle both sides with salt; let drain for 30 minutes. Wipe off excess salt and cut eggplant into 1/2 inch cubes. Preheat oven to 375°F.
In a skillet sauté the fennel in olive oil for 4 minutes. Add the eggplant and garlic and sauté 7 to 8 minutes more. Remove the skillet from heat and add olives, parsley, capers, sage, and 1/2 teaspoon of black pepper.
Divide filling among peppers. Arrange peppers in baking dish and sprinkle with cheese. Bake in preheated oven uncovered for 20 to 25 minutes or until heated through.