Learn German: Ich finde, das Drehbuch ist extrem fesselnd. - I think the screenplay is extremely gripping.

This sentence uses a subordinate clause but drops the word dass. When you omit dass after verbs of expressing thoughts or speech (like finden, glauben, or sagen), the second clause takes normal verb-second (V2) word order instead of pushing the verb to the end. If you kept the conjunction, it would be: Ich finde, dass das Drehbuch extrem fesselnd ist.

Is the comma after finde mandatory even though there is no connecting word?

Yes, absolutely. In German, you must separate clauses with a comma, even when the conjunction dass is omitted. Because Ich finde and das Drehbuch ist extrem fesselnd are distinct clauses with their own verbs, the comma stays.

Could I use denken instead of finden here to mean "I think"?

You could, but finden is usually the most natural choice. While denken means "to think" as a cognitive process, finden is specifically used to express a subjective evaluation or personal taste, much like saying "I find the screenplay gripping" in English.

Where does the adjective fesselnd come from?

It is the present participle of the verb fesseln, which literally means "to tie up," "to bind," or "to shackle." Metaphorically, if a book or movie is fesselnd, it conceptually ties you to your seat and completely captivates your attention.