In a small saucepan, bring the red wine to a simmer and cook until reduced by half, about 10 minutes. Add the figs, orange juice, honey, cayenne, rosemary and star anise and bring back to a simmer. Season with salt and pepper. Cook until the figs soften and the mixture thickens, about 30 minutes, stirring occasionally to prevent scorching on the bottom. Cool to room temperature before removing the anise and rosemary.