For the compote: In a heavy saucepot, add half of the cranberries and the honey. Cook over medium-low heat until the cranberries have broken down, 5 to 7 minutes. Stir in the vanilla and the remaining cranberries; cook for another 2 minutes. Off the heat, fold in the orange segments. Let cool. Serve at room temperature.
For the Dutch baby: Preheat the oven to 450 degrees F.
In a mixing bowl, combine the eggs, milk, flour, shortening, sugar and salt. Whisk until the ingredients are thoroughly combined and the batter is smooth and creamy.
Place an 8-inch cast-iron skillet in the oven for 8 minutes to get hot. Carefully remove the skillet from the oven and add 1 tablespoon of the butter, swirling to coat the pan evenly. Pour one-quarter of the batter into the hot pan and return to the oven. Bake until golden brown, 15 to 20 minutes. Serve with a 1/4 cup of the compote, and dust with powdered sugar. Repeat with the remaining butter and batter.