Spread hazelnuts evenly on a baking tray. Bake until lightly toasted, about 5 to 7 minutes. Remove the pan from the oven, transfer the nuts to a bowl and let them cool.
Place the egg nog, sugar, salt, butter, egg, egg yolk, bread flour, yeast, anise seed and cinnamon into the bread machine. Program the machine for a basic cycle with the crust as "medium." Press start. Do not use the delay timer.
Place the cooled toasted hazelnuts into the machine between Knead Cycle 1 and Knead Cycle 2. When the baking cycle ends, immediately remove the bread from the pan and allow it to cool on a rack.
Prepare the glaze by combining the icing sugar and eggnog in a bowl; mix well. It should be drizzling consistency. Drizzle the glaze on the cooled bread before slicing.