Activate the yeast by combining the warm milk, sugar, and yeast. Let sit for 10 minutes until frothy.
In a large bowl, whisk together the flour, sugar, salt, lemon zest, orange zest, and anise seeds. In another bowl, beat the eggs, melted butter, and vanilla extract. Add the yeast mixture to the wet ingredients and stir.
Gradually add the dry ingredients into the wet mixture until a soft dough forms.
Knead the dough for about 10 minutes until smooth and elastic. Place in a greased bowl, cover with a clean towel, and let rise in a warm place for 2-3 hours until doubled in size.
Punch down the dough and shape it into a round loaf. Place in a greased round cake pan and let rise for 1 hour.
Preheat the oven to 350°F (175°C). Brush the top of the dough with the beaten egg. Bake for 35-40 minutes, until golden brown and a skewer inserted comes out clean.
Cool completely on a wire rack, then dust with powdered sugar before serving.