Remove the rind from the orange and lemon using the smallest holes on a box grater. Set aside. Cut the ends off the orange. Remove the peel and outer membranes by following the curve of the fruit with a paring knife. Cut and lift the orange sections away from the membranes. Place in a bowl, cover, and chill.
In a large saucepan combine the milk, rinds, and the remaining ingredients, including the vanilla seeds. Let sit for 5 minutes. Bring to a boil on medium heat, stirring constantly. Remove from the heat and cool for 30 minutes. Stir well, then place the mixture in a glass bowl, cover, and chill for 3-4 hours.
To serve, give the tapioca a quick stir and remove the vanilla bean. Spoon the tapioca into individual bowls and garnish with the orange sections.
*Dried vanilla beans are about 5-8 inches long, wrinkled yet supple, and dark brown in color. To split, carefully cut lengthwise from end to end. Inside you will see a dark brown mass of seeds so tiny that they merge together into a soft pulp. Use a knife to scrape these seeds from the bean.