Zest one of the oranges and then squeeze out the juice.
Place the egg yolks, caster sugar, Marsala wine, orange juice and the Grand Marnier in a heat proof bowl. Place the bowl over a pan of simmering water and whisk until light, fluffy and thick. The sabayon is ready when you are able to make a figure of 8 with the mixture in the bowl. Stir in the orange zest and pour into individual glasses. Keep to one side.
Preheat the oven to 180'C.
Split the vanilla pod in half and remove the seeds.
Dice the butter and place in a food processor with the flour, vanilla and icing sugar. Pulse until a ball begins to form, taking care not to overwork the mixture in the food processor. Remove and finish kneading by hand until you have a firm ball of dough. Place the dough between 2 sheets of baking paper and roll out until 5mm thick.
Transfer to the oven and bake for 10-12 minutes. Remove from the oven and cut into shapes as desired. Return the biscuits to oven and bake for a final 3 minutes. The biscuits should be golden brown on the edges and firm in the middle. Whilst still hot, sprinkle with a little caster sugar and then allow to cool.
Cut the top and bottom from the orange. Using a sharp knife, follow the shape of the fruit and remove all of the skin and the pith. Carefully segment the orange, removing only the flesh of the orange. Lay the segments on to baking parchment and sprinkle with the sugar and cinnamon. Use a chef's blow torch to gently glaze the orange segments.
Plate the shortbread biscuits on side plates alongside the sabayon. Gently place the orange segments on top of the sabayon and serve immediately.
«Make sure all of the pith is removed when segmenting the orange as this part of the skin is very bitter.»