Two broad observations about flavours in Portugal. One, they use a lot of salt: I mean huge, huge amounts of it. Particularly on grilled fish. It makes a massive difference: a sea bass barbecued in a restaurant in Portugal and one from Tesco here may well have come from the same fish farm in Greece, but taste nothing alike when cooked according to local expectations.
The second is that sometimes the base ingredients do make a difference. I don't eat milk or milk products so can't really comment on some of the desserts you mention, but a lot of them will contain egg - Molotov being a case in point - and eggs there taste a million miles away from what you get here. Much more intense there; I suspect it's down to the feed, plus the fact that chickens and hens aren't so intensively reared there.
I quite like açorda: the sourdough boule from Lidl's instore bakery, left to go stale for a couple of days, makes a tolerable substitute for an Alentejo loaf. If you want something a bit different, cut the top of the boule off, scoop out the insides to shred for the açorda, and use the bottom half of the crust as a bowl to serve it in.
I think your sauce was unlikely to contain fennel - it's not something you see widely in markets etc there and I've certainly not come across it in my 40-plus years of eating fish in Portugal (although, admittedly, I don't even need a whole hand to count the number of times I've paid more than about €9 in today's money for a fish meal in a restaurant there). I suspect it was probably celery with the aroma coming from cloves, especially if the end result looked like this www.receitasemenus.net/atum-estufado-com-batatas/
The colour in many orange sauces comes from the paprika - used very widely in fish sauces - as well as tomato/passata for certain dishes and it will have been white wine rather than vinegar although to be fair the sort of wine you'd cook with is often not much better... However, it is usually combined with a stock (vegetable or fish) and reduced down to ramp up the flavour quotient. Garlic and fresh coriander, plus salt and pepper will have made up the rest. The type of white wine you use in cooking makes a difference too: rough and light is good, whereas a heavy oaked Aussie chardonnay will produce a very different result. If you can't source something Portuguese, try a cheap Italian or Spanish table wine from Aldi or Lidl.
Other top tips for Portuguese cooking: use the best quality olive oil you can, and if you don't have a cataplana for dishes that call for one, use a lidded wok.