Place the milk, 2 cups of flour, and yeast in the bread machine pan and process on the dough setting. (Mine takes around 1.5 hours).
While the machine is working (no rush here - you have plenty of time) mix the other 2 cups of flour with the sugar, salt, orange zest, and the anise seed. (I couldn't find ground anise seed so I ground some up in my blender. A coffee grinder would work as well).
Once the dough cycle is completed, add the flour mixture, olive oil, and eggs. Process again on the dough setting. (Another 1.5 hours! But for me, this is preferable to doing it by hand. My handmade dough ends up like a brick).
Once the second cycle is completed, remove the dough to a well-floured surface. Punch down and form into a ball. (This is easy! I was scared because this is where I get into trouble - I tend to overwork things. Look it up on YouTube if you don't know how: http://youtu.be/5HW38Bn-hnI).
Cover and let the dough rest for 15 minutes. (I left it on the counter top and covered it with paper towels).
Now, divide the dough into three parts. Roll each piece into a rope and braid, working from the center to the ends. Pinch the ends together and turn under. (Once again, if you don't know how: http://youtu.be/YR6aIAh2Vt8 And if you don't feel like braiding it at all - I won't tell. It tastes wonderful no matter what the shape).
Embed the dyed eggs (optional) in the folds of the braid. Cover and let the dough rise until doubled in bulk - about 1 hour.
Meanwhile, preheat the oven to 375 degrees F. (Note: Mine came out a little dark on top so I'm gonna try 350 degrees next time.) Once the dough has risen, brush it lightly with the egg wash. (I sprinkled some whole anise seeds on top, but you don't have to do that. Some people use slivered almonds, but my family has allergies).
Bake in the preheated oven for 40 to 45 minutes or until golden brown. (I slid the parchment paper directly onto a preheated pizza stone. My bread came out a little dark on the top, next time I'll drape some foil paper over it around 15 minutes in).
Cool on a rack. Store in a brown bag for up to 3 days. (When it starts getting stale - if it lasts that long - you can make french toast with it. I recommend this recipe: http://www.food.com/recipe/dennys-style-french-toast-90674 So good!).