In the bowl of a stand mixer, combine yeast, whole milk, ½ cup bread flour, and 1 tbsp granulated sugar with the dough hook. The whole milk should feel the same temperature as your finger. Too warm and the yeast will die. Too cold and the yeast will not activate. Set aside for 5-10 Minutes, or until visibly foamy or smells yeasty.
In a separate mixing bowl, prepare the dry ingredients. Mix the bread flour, orange zest, anise seeds, and salt.
In a separate mixing bowl, prepare the wet ingredients. Mix the beaten eggs, orange juice, sugar, and vanilla.
Add half of the dry ingredient mixture to the standing mixer bowl on low speed. Alternate with half of the wet ingredients and continue until everything is incorporated.
Knead the dough on high speed for 5-7 Minutes until the gluten activated and a soft dough forms. The dough will be wet and may stick to the sides of the bowl.
Add one tablespoon of butter at a time on low speed, mixing after each addition. Continue until all butter is incorporated. Knead on high speed for an additional 3-5 minutes. Add 1-2 tablespoons of flour to encourage the dough to release from the sides.
Lightly oil a mixing bowl, add dough, and cover tightly with plastic wrap. Keep in a warm place for 1-2 Hours, or until double in size.
Set aside a baking sheet covered with parchment paper, a few tablespoons of flour, a knife or bench scraper, and a clean kitchen towel. Lightly flour a workspace and turn out the dough. Divide in four equal sections. Work with one section at a time, keeping the other ones covered with the clean towel.
Separate ½ cup and 1 tablespoon of dough. Form the largest piece into a circular loaf and set aside. Roll the second largest piece into a thin log about ½ inch wide. Slice the log into three equal sections and shape into bones. Roll the last piece into a small ball. Beat together egg and water in a bowl. Coat the large loaf with egg wash. Adhere the ‘bones’ on the dough like spokes on a wheel. Top the loaf with the small ball where the bones connect in the middle. Coat with egg wash. Place on baking tray with parchment paper. Repeat until all loaves are shaped. Cover all loaves with a clean kitchen towel and set aside in a warm place to rise for 30 Minutes – 1 Hour.
Cut the parchment paper around each loaf, keeping it attached to each bread. Brush with egg wash. On the Bake function, cook individually at 360F for 20 Minutes, or until golden brown.
For sugar coating: allow the bread to cool completely. Mix sugar and cinnamon. Cover loaves with butter then dust with cinnamon sugar. Repeat as necessary.
For sesame coating: beat egg white and water. Brush egg wash over warm loaves and sprinkle with sesame seeds. Bake at 360F for 1 Minute, or until no longer damp.