For the panna cotta:
In a small bowl, soften the gelatin by sprinkling it slowly over the cold water. Set aside.
In a saucepan, gently heat the cream and sugar to a scald (not boiling)—stirring often to dissolve the sugar. Add the softened gelatin to the cream and whisk until the gelatin is completely dissolved.
Pour the mixture over the goat cheese and whisk until all the ingredients are combined thoroughly. Add the vanilla, yogurt and milk and whisk well.
Pour this mixture through a fine-mesh strainer into a measuring cup or a bowl with a spout. Pour the panna cotta into glass jars or ramekins and allow it to set in the refrigerator for 4 hours. The finished panna cotta will be set but jiggly.
For the compote:
In a sauce pot, combine all the ingredients except the almonds and stir together. Bring to a simmer and allow to cook until the strawberries and rhubarb are very soft but still intact. Stir often to avoid scorching. Keep in the refrigerator until cold.
Remove the star anise pods and serve the compote over the panna cotta topped with sliced, toasted almonds, if desired. Save any leftover compote for ice cream or French toast.