Place achiote in medium-sized saucepan. Cover with the water. Bring to gentle boil and simmer, uncovered, for 5 minutes. Strain through fine-mesh sieve into bowl and set aside.
Rinse rice under cold, running water until water runs clear. Set aside to drain in sieve or colander. Tie aniseeds, allspice, cinnamon sticks, and dried chile in piece of cheesecloth.
Pour reserved achiote water into heavy-bottomed 5- or 6-qt. saucepan. Add drained rice, spice bouquet, and salt. Bring to boil, reduce heat to medium, and cook, uncovered, until rice is soft, 20 to 25 minutes.
Stir in whole milk and condensed milk. Reduce heat to low and cook 5 minutes. Add chocolate, stirring with wooden spoon to mix evenly as it melts. Cook, uncovered, for another 40 minutes, stirring occasionally; it should be very creamy but not dry. Halfway through the cooking, split the vanilla beans lengthwise with a small, sharp knife and scrape the seeds into the mixture. Add the scraped beans and stir to mix well.
When pudding is done but still a little loose-textured, remove and discard the spice bouquet and vanilla beans. Pour into serving dish, dust lightly with ground cinnamon, and serve warm or at room temperature.