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Heat oven to 180C/160C fan/gas 4. Arrange the quince in a greased roasting tin or casserole and scatter over the sugar and vanilla seeds, throwing the pod in too. Add the orange zest and lemon juice, and pour over the madeira and 100ml water. Cover with foil and roast for 25-30 mins until the quince are pink and very tender.
Leave to cool, then blitz half the quince into a purée and finely chop the other half. Reduce the roasting juice in the pan to a syrup. Stir the purée and finely chopped quince together. Whip the cream to soft peaks and fold through the Greek yogurt and a little of the syrup. Layer in glasses with the quince mix and syrup. Chop a few hazelnuts to sprinkle on top and serve.