The caramel's sweetness is perfectly balanced by tart citrus in this dessert soup.
Using a paring knife, remove the peel from both the navel and blood oranges, lime, and both grapefruits. Section the fruit over a medium bowl, catching the juices. Place the sections in the bowl, and cover. Transfer to the refrigerator.
Combine the sugar and 1/2 cup water in a medium saucepan over medium heat. Cook sugar until caramelized and amber in color. Slowly whisk in the orange juice. Increase heat to medium high; add the cinnamon stick and star anise. Continue cooking until the liquid has reduced by half, 20 to 25 minutes.
Remove the pan from the heat, and pour the liquid through a fine sieve set over a heatproof bowl. Discard the solids, and add the lemon juice. Let the caramel-citrus broth cool completely. Cover, and transfer broth to refrigerator to chill.
When ready to serve, divide the reserved fruit segments and the juice among 6 soup plates, and top each serving with 1/3 cup chilled caramel-citrus broth. Serve.