Step 1Heat the oven to 300 degrees.
Step 2Place the mushrooms in a baking pan. Pour in the balsamic vinegar and one-fourth cup of the olive oil. Season with salt and pepper. Bake until the mushrooms are tender, about 20 minutes, turning the mushrooms once halfway through the cooking time. Set aside.
Step 3Heat the butter in a medium skillet over medium-high heat. Add the shallots and cook until softened, 1 to 2 minutes. Add the spinach and cook, tossing just until the spinach starts to wilt, about 1 minute. Set aside.
Step 4Sprinkle the sugar evenly over the bottom of a large, heavy skillet. Heat the skillet over low heat and cook the sugar without stirring until it begins to melt around the edges. Once it does, pick the skillet up and gently swirl the sugar in a circular motion until all the sugar has melted and is a light caramel color, about 5 minutes.
Step 5Add the cranberries, vanilla bean, star anise and orange juice. The caramel will harden, but that's OK. Cook over low heat, stirring, until the caramel melts again, about 6 to 8 minutes. Let cool slightly then whisk in the remaining olive oil and the Sherry vinegar. Add 2 to 3 tablespoons of water. Remove the vanilla bean. Season the sauce with salt and pepper to taste.
Step 6To assemble, place a mushroom on each of 4 plates. Top each mushroom with spinach then drizzle with the warm vinaigrette.