Lightly grease a 1-quart charlotte mold.
Place the chocolate in a medium heat-proof bowl. In a small saucepan, scald the milk and sugar. Remove from the heat and pour over the chocolate. Stir to blend. Let cool, then beat in the egg yolks until smooth and shiny. Add the orange peel and beat to incorporate. Let cool completely.
In a clean bowl, beat the egg whites with a pinch of salt until stiff. Fold 1/2 of the whites into the chocolate mixture to lighten. Gently fold in the remainder.
In a small bowl, combine the cognac and water. Dip the macaroons 1 at a time into the mixture, then layer across the mold, flat side down. Arrange additional macaroons up the sides of the mold, flat sides out. Spoon 1/2 of the chocolate mixture into the mold, and top with a layer of macaroons. Add the remaining chocolate mixture and top with the remaining macaroons.
Cover with plastic wrap and place a plate on top. Place a weight (such as a large can or measuring cup filled with water) on the plate and refrigerate until set, at least 8 hours or overnight.
To serve, remove the weight and plate and unwrap. Place a platter on top of the charlotte and invert, shaking slightly to release and remove the mold. Thinly slice. Garnish with chocolate shavings and serve.
Preheat the oven to 350 degrees F.
Line a baking sheet with parchment paper and grease the paper. Set aside.
In a bowl, mix together the almonds, 1 1/2 cups sugar, and wine.
In a separate bowl, beat the egg whites until stiff. Whisk into the almond mixture. Transfer to a saucepan and over the barest heat, whisk to dry slightly. Remove from the heat and let cool.
When cool, spoon tablespoons of the mixture onto the prepared sheet and flatten slightly. Sprinkle lightly with powdered sugar. Bake until crisp on the top rack of the oven, 15 to 20 minutes. Do not let brown.
Remove from the oven and lift one end of the paper. Pour a small glass of water under the paper. (The resulting steam will loosen the macaroons.) Let sit for 2 minutes, then remove to a rack to cool.