Preheat the oven to 425°F with a rack in the lower middle position.
Wash and dry the broccolini. Remove any wilted leaves. Trim the bottom ¼" of the stems.
Line a sheet pan with aluminum foil and arrange the broccolini in a single layer.
Drizzle with olive oil and sprinkle with salt, pepper, cumin, and crushed red pepper flakes. Use a heavier hand with the seasonings over the blossom ends of the broccolini rather than the stems. Toss the broccolini on the sheet pan with your hands so they're all evenly coated, then arrange them back into a single layer on the pan.
Sprinkle parmesan and dill (if using) over the blossom ends of the broccolini.
Cook for 20 minutes, until the edges of the broccolini are crispy and slightly blackened.
While the broccolini cooks, make the yogurt sauce by combining greek yogurt minced shallot, lemon zest and juice, asafoetida (if using), and season with salt and pepper to taste. Toast the nuts in a bare skillet over medium heat until they take on a slightly darker color and become quite fragrant.
Remove the broccolini from the oven and arrange on a serving platter. Spoon the yogurt sauce over the stems, then top with the toasted walnuts, or serve it as a dipping sauce on the side with the toasted walnuts on top.