Preheat the oven to 400 degrees F. Set a wire rack over a baking sheet.
Slice of the top and bottom of the oranges using a serrated knife. Place the oranges, cut side down, on the cutting board and slice away the outer layer of skin and pith to just reveal the flesh. Cut the oranges into 1/2-inch-thick slices and then into quarters. Place the oranges in a bowl and add the turbinado sugar and orange liqueur; toss to coat. Arrange the oranges on the wire rack and transfer to the oven. Cook until the sugar has caramelized, 13 to 15 minutes. Let cool, then sprinkle the oranges with the salt and pepper. Reserve to the side.
Combine the heavy whipping cream and vanilla seeds in a medium mixing bowl. Whisk until soft peaks form. Fold in the mascarpone and set aside.
To assemble: Spoon a dollop of mascarpone whipped cream into 4 to 6 footed parfait glasses. Top with a layer of caramelized oranges. Repeat four more times, so there are five layers of whipped cream and oranges in each glass. Refrigerate the parfaits for 20 minutes to set up.
Garnish each parfait with a drizzle of olive oil and a pinch of cinnamon, if using. Serve immediately.