In a paella pan or wide, shallow pan with a tight-fitting lid, heat the Achiote Oil over medium-high heat until the oil is rippling. Season the chicken with salt and pepper and add as many pieces skin side down to the pan as fit without touching. Cook, turning as necessary, until well browned on all sides, about 10 minutes. Remove the pieces as they are done and set aside. Adjust the heat under the pan, especially after you start removing chicken, so the chicken browns without the oil darkening.
When all the chicken is removed from the pan, add the Sofrito and alcaparrado. Season, to taste, with salt and pepper. Raise the heat to high and boil until most of the water is evaporated from the Sofrito. Add the cumin and cloves.
Stir in the rice until coated with oil. Return the chicken to the pan, pour in enough broth to cover the rice by the width of 2 fingers (about 1-inch), and bring to a boil. Cook over high heat until the level of liquid reaches the rice. Stir gently and reduce the heat to low. Cover the pan and cook until the liquid is absorbed, the chicken is cooked through, and the rice is tender but firm, about 20 minutes. Fluff the rice with a fork. The arroz con pollo can be brought to the table right in the pan or transferred to a large serving platter. Either way, garnish with the red pepper before serving.
Heat the oil and annatto seeds in a small skillet over medium heat just until the seeds give off a lively, steady sizzle. Don't overheat the mixture or the seeds will turn black and the oil will turn a nasty green. Once they're sizzling, remove the pan from the heat and let stand until the sizzling stops. Strain and reserve in a jar with a tight-fitting lid at room temperature for up to 4 days.
Chop the onion and Cubanelle or Italian peppers in the work bowl of a food processor until coarsely chopped. With the motor running, add the remaining ingredients 1 at a time and process until smooth. The sofrito will keep in the refrigerator for up to 3 days. It also freezes beautifully.
*Achiote seeds are a deep orange seed with a nutty flavor. They are available in many supermarkets and almost all Latin markets. *Ajices dulces are little sweet peppers that look similar to the fiery hot Scotch bonnet or habanero peppers, only smaller. They have a wonderful fresh herbal flavor, almost like cilantro, but only a tiny bit of heat. Culantro is an herb with broad, round-tipped leaves. Its flavor is similar to cilantro, but much more intense. Both ajices dulces and culantro are available in Latin markets. If you cannot find them, simply increase the amount of cilantro to 1 1/2 bunches.