Toast the garam masala, annatto seeds, cumin, coriander, fennel seed, turmeric, star anise and cinnamon in a medium saute pan over medium-low heat until fragrant. Transfer to a plate and let cool, and then grind to a smooth powder in a spice grinder.
Combine the yogurt, cilantro and lemon juice in a large bowl and stir in the spice mix until combined. Gently toss the guinea hen pieces in the yogurt to coat evenly. Cover with plastic wrap and allow to marinate in the refrigerator at least 4 hours.
Preheat the grill to high heat. Remove the hens from the marinade, scraping off excess with your fingers, and transfer to a baking sheet. Sprinkle with salt and pepper. Grill the hens until cooked to 165 degrees F, about 10 minutes, flipping after a few minutes and looking for grill marks as an indicator for doneness. Transfer to a serving plate and serve with grilled lemon slices and cilantro leaves for garnish.