In a small bowl, combine rum, star anise, cinnamon stick, and allspice berries; let stand at least 30 minutes. In a large bowl, combine brown sugar, mace, cardamom, allspice, and salt. Add pineapple, mix gently, and let stand 30 minutes, stirring occasionally. Meanwhile, preheat oven to 450° with rack in upper third of oven.
Pour rum mixture over pineapple and toss gently. Let stand 15 minutes, stirring occasionally. Butter a rimmed baking sheet and arrange pineapple mixture ( including juices and spices) in a single layer.
Roast pineapple until only a little juice remains, 15 to 20 minutes. Turn spears over and continue to roast until tops start to brown, 8 to 10 minutes. Turn pineapple in any remaining juices, transfer to a work surface, and cut into chunks.
Spoon yogurt into 6 wide glasses or small bowls and mound roasted pineapple on top. Scatter with lime zest and decorate with spices from baking sheet if you like.