Heat oven to 400° F. On a rimmed baking sheet, toss the beets with the oil; season with ¾ teaspoon salt and ¼ teaspoon pepper. Roast until tender, 18 to 20 minutes.
In a large bowl, whisk together the buttermilk, mayonnaise, herbs, ¼ teaspoon salt, and ⅛ teaspoon pepper. Add the watercress, fennel, and beets and toss to coat. Sprinkle with the fennel fronds.