Heat oven to 200C/fan 180C/gas 6. Cut the rhubarb stalks in half lengthwise, then into finger-length pieces. Put in a shallow ovenproof dish, then pour over the wine. Tuck the orange zest and star anise among the spears then sprinkle with sugar.
Cover tightly with foil and roast for 20 mins, until the rhubarb is tender. Uncover and cook for a further 5 mins to reduce the sauce until syrupy.
Serve the rhubarb on small plates with a spoonful of mascarpone on the side.