In a bowl, with an electric mixer on medium speed, beat butter and granulated sugar until smooth. Beat in egg yolk. Stir or beat in flour and anise seeds until well blended.
Divide dough into eight equal portions. Roll each portion into a 1/2-inch-thick rope. Evenly space four ropes on each of two buttered or cooking parchment-lined 12- by 15-inch baking sheets. With the side of your little finger, press a 1/4-inch-deep groove down the length of each rope.
Bake ropes in a 375° oven just until beginning to turn golden, about 10 minutes. Remove from oven; spoon jam into grooves. Bake until ropes are firm to touch and slightly darker, 5 to 10 minutes longer. Let cool on sheets for 5 minutes.
In a bowl, stir powdered sugar and anise-flavored liqueur until smooth. Drizzle mixture back and forth across ropes. Cut ropes diagonally into 1-inch pieces. Let cool completely.
Note: Nutritional analysis is per cookie.