Make the tart shell: Sift together flour, cocoa powder, and 3/4 teaspoon salt in a medium bowl. Beat butter and granulated sugar with a mixer on medium speed until pale and fluffy, about 3 minutes. Beat in egg yolk and vanilla to combine, scraping down side of bowl if needed. Reduce speed to low, and add flour mixture in 3 additions, alternating with cream and beginning and ending with flour mixture. Shape dough into a disk, and refrigerate, wrapped in plastic wrap, for at least 30 minutes and up to 2 days.
Preheat oven to 350 degrees. Roll out dough to a little less than 1/4-inch thickness on a lightly floured surface. Fit dough into a 9-inch fluted tart pan with a removable bottom. Trim edge flush with top edge of pan. Chill in freezer until firm, about 15 minutes. Prick bottom all over with a fork, and bake until firm, about 20 minutes. Let shell cool in pan on a wire rack.
Meanwhile, make the roasted oranges:.
Reduce oven temperature to 325 degrees. Leaving peel on, cut 4 oranges into 1/4-inch rounds, and arrange in a single layer on a rimmed baking sheet. Pour 1/4 cup juice over oranges, cover tightly with parchment, then foil, and cook until peel is tender, about 2 hours, adding 1/4 cup juice every 30 minutes.
Increase oven temperature to 375 degrees. Remove foil and parchment, and sprinkle oranges with granulated sugar. Add remaining 1/4 cup juice, and roast oranges for 15 minutes. Add 2 tablespoons water, and roast until slightly golden and dry, 2 to 3 minutes more. Cool completely.
Make the filling: Finely grate zest from remaining orange, about 1 1/2 teaspoons, and stir together with mascarpone(or cream cheese) and confectioners' sugar in a small bowl. Spread filling in tart shell, and arrange roasted oranges on top, overlapping slightly.