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Place the gelatine and milk in a pan, then leave it to one side to soak. Meanwhile, place the orange zest, vanilla pods and sugar in a pan. Add 800ml of the cream, then bring to the boil. Simmer until the mixture is reduced by one-third. While the cream is reducing, remove the gelatine from the milk, set aside, then warm the milk. When it is warm, add the soaked gelatine and stir until completely dissolved. Add to the warm cream, pass through a sieve, then leave to cool.
Lightly whip the remaining cream, then fold into the setting mixture. Pour the mixture into a 1-litre pudding bowl, then place in the fridge to set for at least 5 hrs.
While the panna cotta is setting, make the sauce for the orange salad. Tip the sugar into a non-stick pan, then place on the heat to cook down to a caramel. Pour in the Grand Marnier and orange juice – this will make the caramel harden, so just simmer on a low heat, stirring, until it’s dissolved to a syrupy consistency. Remove from the heat.
Take the panna cotta out of the fridge, slide a knife around the edge of the bowl and dip very briefly in hot water to loosen. Tip the panna cotta into the middle of a plate, then arrange the orange segments around it. Spoon the orangey sauce over the panna cotta and oranges, then scatter over the zest.