Make the Dough: Place the flour in a large mixing bowl; set aside.
Heat the milk in a small saucepan over low heat, stirring occasionally, until it is warm to the touch, but not hot. If you have an instant-read thermometer, the temperature of the milk should be between 110 and 115 degrees F.
While the milk is warming, place the sugar in a small bowl and add the orange zest. With your fingertips, rub the zest into the sugar until it is completely incorporated and the sugar is moistened.
Once the milk reaches the correct temperature, stir in the sugar and zest mixture, stirring to dissolve the sugar. Add the yeast, stir, and let sit for 10 minutes.
Add the milk and yeast mixture to the flour and begin to mix it into a dough (it will be shaggy at this point).
Next, add the melted margarine and continue to mix. Then, add the orange juice to the dough and mix to combine.
In a small bowl, use a fork to lightly beat together the eggs, salt, and anise oil. Add to the dough and continue mixing.
At this point, you may need to add more flour to the dough, depending on how much juice you get out of your oranges. (I added quite a bit more to get the dough to come together.) Once you have a sticky ball of dough formed, turn it out onto a floured surface and knead for about 5 minutes, adding a small amount of flour at a time as needed, or until the dough is soft and elastic. It will remain slightly tacky.
Place the dough in an oiled bowl, turning to coat, and cover the bowl loosely with plastic wrap. Place in a draft-free area and allow to rise until doubled in volume, about 1 hour. Meanwhile, line two baking sheets with parchment paper and set aside.
Shape the Bread: Turn the dough out onto a clean surface and divide in two. Divide each half into two (you will have four pieces of dough). We will work with one pair, and then the other. Roll two pieces of dough into 24-inch long ropes. Loosely twist the ropes together. Transfer the braided rope to one of the prepared baking sheets and bring the ends together to form a ring, twisting and pinching the ends together to seal. Repeat with the remaining two pieces of dough so that you have two circular, braided loaves. Brush the tops of each with the melted butter, loosely cover with plastic wrap, and let rise until nearly doubled in size, about 45 minutes to 1 hour.
While the dough is rising, preheat the oven to 350 degrees F. Bake one at a time (unless you have the oven capacity to correctly bake both at the same time) until golden brown on top, 30 to 40 minutes. Remove from the oven and transfer to a cooling rack to cool completely.
Glaze the Bread: Once the breads are cooled to room temperature, you can glaze them (if you desire). In a small bowl, whisk together the powdered sugar and the milk until smooth. Use a pastry brush to brush the glaze onto the top and sides of the bread, and decorate with sprinkles. The bread is best served at room temperature. If you have leftovers, wrap well in plastic wrap and store at room temperature for up to 3 days.