Special equipment: a frying thermometer; a doughnut-dropper
For the mixed spices: Toast the aniseed, coriander seeds, ginger, cloves and peppercorns in a dry skillet until fragrant. Transfer to a spice grinder or clean coffee grinder and grind to a powder.
For the pain d'epices doughnuts: Heat the shortening in a deep frying pan, making sure it is at least 2 inches when melted. Bring the oil to 375 degrees F.
Combine the flour, brown sugar, baking powder, salt and baking soda together with 2 teaspoons mixed spices in the bowl of a stand mixer fitted with the paddle attachment, and mix on low speed until incorporated. Whisk together the milk, buttermilk, vanilla and egg in a separate medium bowl. Add the butter to the dry ingredients and mix until fully incorporated. With the mixer running on medium-low speed, add the wet ingredients in a steady stream. Scrape down the side of the bowl and mix until thick and smooth, about 30 seconds. Let the dough rest, 10 minutes.
Using a doughnut-dropper or a pair of tablespoons (for fritter-shaped balls), drop several doughnuts in the oil and fry until golden brown, 45 seconds per side. Drain on brown paper grocery bags or a rack; cool completely.
For the orange-cognac glaze: Combine the marmalade, cognac, honey and salt with 1/2 teaspoon mixed spices in a small saucepan and bring to a simmer. Simmer until thick and slightly reduced, 7 to 10 minutes. Let cool until just warm.
Dip the tops of the cooled doughnuts in the warm glaze and let stand until the glaze sets. Top with thyme sprigs and a few shards of blue cheese.