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Make a foil pouch large enough to enclose the beets. Poke a few holes in the top to allow steam to escape.
When ready to cook, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes). Set the temperature to 350F and preheat, lid closed, for 10 to 15 minutes.
Roast the beets until they are tender, 50 to 60 minutes. Carefully remove the foil and allow the beets to cool until they can be comfortably handled.
Slip the skins off with your fingers. (You may wish to wear latex gloves to avoid staining your hands.) Cut the beets into quarters or slices. (Candy cane beets are especially pretty when sliced.)
In the meantime, make the brine: Bring the vinegar, sugar, salt, and water to a boil in a small saucepan over high heat.
Put the cloves, peppercorns, star anise, and cinnamon in a clean lidded jar, such as a canning jar. Add the beets to the jar. Pour the hot brine over the beets. Put the lid on the jar. Cool the beets to room temperature, then refrigerate for 3 to 5 days before serving.