Rinse lentils. Tie herbs together with kitchen twine. Combine 2 cups water, lentils, sage, rosemary, and thyme, and ½ teaspoon salt in a medium saucepan. Set pan over medium-high heat. When water boils, lower heat and simmer for 12 minutes.
Add carrots and fennel and simmer until the lentils are tender, another 5–7 minutes. Remove herbs and drain lentils.
Combine shallot, vinegar, lemon juice, mustard, ½ teaspoon salt, and pepper in a large bowl. Slowly whisk in oil. Add cooked lentils. Stir to combine and rest for 10 minutes. Add feta and parsley, toss, and serve with sausages.