Wash and stem plums, put in a small pot, and add enough water to just cover plums. Bring to a boil. If plums are softened, remove from heat; if not, cover and simmer until soft, 10 to 15 minutes.
Grind star anise with fennel seeds in a spice grinder or clean coffee grinder.
Strain plums into a bowl; reserve liquid. Set strainer of plums over pot. With a wooden spoon or gloved hand, firmly press plums through strainer into pot (discard pits). The strained plums should have the texture of thin tomato soup; stir in some plum-cooking water if needed.*
Add remaining ingredients (except sugar) and simmer over medium heat, uncovered, stirring occasionally, until flavors have melded and sauce is as thick as ketchup, about 30 minutes. Season with more salt to taste, along with a spoonful of sugar if you like.
*Wild plums have a higher pectin content, so they will need more cooking water.
Make ahead: Sauce, up to 2 days, chilled; frozen, up to 4 months.