For the confit: Slice ½'' off the top and ¼'' off the bottom of each orange; then insert a sharp paring knife into each orange's flesh, cutting only the flesh into quarters and leaving the white pith and rind completely intact. Hollow out each orange by sticking a tablespoon between the flesh and the white pith to cleanly separate them. Then, push out and discard the quartered flesh, leaving the orange rind shells intact.
Bring a large pot of water to a boil over high heat, add hollowed-out rinds, reduce heat to medium, and simmer until rinds are softened slightly, about 15 minutes. Transfer rinds to a plate with a slotted spoon and discard water. To make a simple syrup, combine 4 cups of the sugar with 4 cups water in same pot and bring to a boil over medium-high heat, then reduce heat to medium and simmer, stirring occasionally, until sugar dissolves, about 5 minutes. Remove ¾ cup of the simple syrup for the sorbet and refrigerate until chilled.
Add reserved rinds, cinnamon stick, and star anise to the simmering simple syrup. Place a piece of parchment paper directly on top of rinds and simmer, turning occasionally, until white pith is plump and begins to look translucent and rind is very soft, 30-40 minutes. Set aside until cool. Dredge rinds in remaining 1 cup sugar, arrange on a serving tray, and freeze.
For the sorbet: Combine orange juice, reserved ¾ cup chilled simple syrup, and wine in a bowl; pour into ice cream maker and process according to manufacturer's directions. Fill each frozen rind with some of the sorbet.