Preheat the oven to 300 degrees F.
In a 12-inch cast-iron skillet, heat the olive oil over medium heat. Add the sausage and begin to brown, stirring to break into small pieces, about 4 minutes. Add the fennel and onion and raise the heat to high; continue to cook until the vegetables are softened, about 5 minutes. Add the anchovy, paprika, garlic and a pinch of pepperoncini and cook for 1 more minute. Add the wine and deglaze. Add the tomatoes and bring to a simmer. Allow to simmer and reduce, 10 to 15 minutes. Stir in the capers and half the parsley. Lower the heat.
Make 4 wells in the mixture, then place an egg into each. Sprinkle the whole dish with salt and pepper. Bake 8 to 12 minutes, depending on how you prefer your eggs. Garnish with the remaining pinch pepperoncini, the habanero if using, the remaining parsley and pecorino. Serve warm with the garlic-rubbed baguette, if using.