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STUFFING: Finely chop cheese and cilantro with yolk in processor. Transfer to bowl. Mix in tomatoes. Can be prepared one day ahead. Cover and refrigerate.
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DRESSING:
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Blend yolks and 1 tablespoon vinegar in processor. Combine both oils in one cup. Combine remaining vinegar, sherry, and orange juice concentrate in another cup. With processor running, slowly pour both mixtures alternately through feed tube. Mix until slightly thickened. Blend in fresh orange juice, orange peel, tarragon, and cayenne pepper. Grind aniseed in mortar with pestle and add season with salt and pepper. Dressing can be prepared one day ahead, cover and refrigerate.
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CHICKEN:
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Starting at wider short end of each breast, gently slide fingers between chicken skin and meat to form a pocket, 3-inch-deep pocket. Spoon stuffing into pastry bag fitted with medium plain tip. Pipe mixture into each pocket. Press around pocket opening with fingertips to enclose stuffing. Cover and refrigerate until stuffing is firm (about 30 minutes). Can be prepared up to 6 hours ahead.
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VEGETABLES:
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Cut squash and zucchini lengthwise in thirds. Cut each bell pepper into 6 wedges. Place all vegetables on platter. Vegetables can be prepared 4 hours ahead. Cover and refrigerate.
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Prepare barbecue grill (high heat). Grind aniseed in mortar with pestle. Brush both sides of chicken and vegetables with aniseed, olive oil, lemon-pepper seasoning, and salt. Place chicken skin sides down in center of natural gas grill and cook 7 minutes. Turn chicken over. Add squash, zucchini, and bell peppers to grill and cook 4 minutes. Turn vegetables over. Add green onions and tomatoes to grill and cook until chicken is cooked through and vegetables are just tender, turning onions and tomatoes over once, about 3 minutes.
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Arrange chicken and vegetables on platter. Spoon dressing over. Garnish with fresh cilantro sprigs and serve.
