Hi Newt - welcome to the forums!
Monarchs feed exclusively on milkweed - there are over 100 species so they come in all shapes, sizes and colors. We will be updating our Milkweed Photo Guide at
so stay tuned!
The caterpillars that you observed feeding on the fennel you planted were swallowtail caterpillars (which will also feed on dill, parsley, carrot, rue, etc.) and so the chrysalis that you found was also that of a swallowtail.
Swallowtails that pupate in August or September may emerge as late season adults or they may overwinter as a pupa (if kept cool or outdoors). After 6 weeks as a pupa I would normally say that it would emerge in the spring; however, that tiny hole that you spotted in the chrysalis indicates that this particular swallowtail pupa was parasitized by a tiny polyembryonic parasitoid wasp.
This is actually a fascinating life history in and of itself: an adult female wasp located your developing caterpillar and deposited a small number of eggs inside which subsequently divided to ultimately give rise to 100s (1,000s in some cases) of wasp larvae. The wasp larvae fed on the swallowtail caterpillar but still "allowed" it to pupate. The wasps finished their larval development and pupated themselves inside their host. A short time later (about the time you would expect the adult swallowtail to emerge, I believe) the adult wasps emerged within the chrysalis, chewed a small hole in the outer wall and exited en masse.
I think I've got some pictures around here somewhere - I'll look and post them ASAP.