For the citrus bagna cauda: Heat the olive oil in a small saute pan over medium heat. Add the garlic and anchovies. Cook, stirring and breaking up the anchovies with a wooden spoon, until the anchovies dissolve and the garlic is fragrant and beginning to brown, about 3 minutes. Set aside to cool to room temperature.
Meanwhile, add the lemon zest, orange zest, lemon juice, orange juice, honey, salt and pepper to a small bowl. Once the anchovy-garlic oil has cooled, whisk it into the citrus. Allow to mingle for about 10 minutes before removing the garlic.
For the grilled Treviso: Preheat a grill pan over medium-high heat.
Grill the Treviso halves until slightly wilted and charred in spots, 3 minutes per side. Remove to a cutting board, cut out the cores and chop the leaves into bite-size pieces. Place in a medium bowl and season with the 1/2 teaspoon salt. Toss the Treviso with the bagna cauda dressing and sprinkle with the walnuts.