In a large measuring cup, combine the yeast, agave and warm water. Stir gently until mostly combined and let sit for 10 minutes.
In a bowl of the mixer, cream together the sugar and butter until smooth. Mix in the eggs and orange zest. Then mix in the yeast/water mixture just until combined.
Combine the flour, cinnamon, anise and salt. Gradually mix in the dry ingredients to the wet until dough begins to form. On medium /low speed, using the hook attachment, knead the dough for up to 20 minutes. Let the mixer rest for a few minutes after 10 minutes. The dough will be ready when it pulls away from the sides of the bowl on it's own. Gently stretch the dough with your fingers. If it does not tear right away, then it's ready. If not, continue kneading for a few more minutes.
To the dough. drizzle in some oil and using your hands, shape into a large ball, making sure the exterior has a light coat of oil all around. Cover bowl with a kitchen towel and let rise in a warm spot for 1 hour or until it grows twice as big.
If ready after one hour, transfer dough to flat surface and knead gently for a few seconds. Using a pastry cutter or knife, divide the dough into 18 equal dough balls. keep them lightly covered as you work quickly.
To create the shape of the cuernito in the video: Remember, I was just testing the shape this time, lol! On a lightly floured surface, place the dough ball and flatten slightly. Applying pressure in the center, extend the dough up, then down, applying enough pressure to roll out a long and skinny looking stretch of dough. Once it's rolled out, you could add a thin layer of concha topping to fill the cuernitos. I did not have any this day. Starting at the end closest to you, begin to roll as tight as you can. As you gently roll up, you will stretch out both sides as to extend and make the cuernito longer. Ideally, you want the seam side down.
Transfer cuernito to lined baking sheet and curve in the ends towards each other to shape it. Continue working as quick as you can to finish the rest. Once done, cover again with a light kitchen towel and let proof for 45-60 minutes.
When just about ready to bake, preheat oven to 375 degree F. Whisk the reserved egg with a splash of cold water. Brush the cuernitos with egg wash. Bake in preheated oven for 24-28 minutes or until light golden brown. For more browning, place cuernitos 12 inches under the broiler for less than a minute.
While cuernitos are still warm, brush them with melted butter and sprinkle the tops with sugar.