In a large pot, bring the water and cinnamon sticks to a boil. Cover and remove from heat to steep for 10 minutes. Remove the cinnamon sticks and return water to low heat, gradually adding the masa harina and whisking to remove lumps. Add chocolate, piloncillo, fennel seed and vanilla extract, stirring until chocolate begins to dissolve (using a molinillo, if you have one). Increase heat to medium and simmer for 10 minutes, whisking occasionally. Serve immediately.