Heat frying oil in a deep fryer to 375 degrees F.
In batches, add sweet potatoes to oil and fry until crispy, about 1 minute. Drain on a paper towel-lined plate.
In a shallow dish, combine the cocoa, fennel, cloves, cinnamon, salt, and cayenne. Lightly dredge 1 side of the scallops in the spice mixture, shaking to remove the excess.
In a large skillet, heat the 1 tablespoon of oil over medium-high heat. Add the scallops in batches as necessary and cook until just cooked through and golden brown, 2 to 3 minutes per side, depending upon thickness. Remove from the heat and cover to keep warm.
In a medium skillet, melt the sugar over medium heat. When it starts to caramelize, add the vinegar, wine, vanilla bean and seeds, zest and stir to combine. Bring to a simmer and cook until reduced by half, about 2 minutes. Add the cream and cook until thickened and reduced by half, 2 to 3 minutes. Lower the heat and whisk in the butter several pieces at a time, adding additional pieces just as the previous ones are almost incorporated. Remove from the heat and remove the vanilla bean. Stir in the orange segments and adjust the seasoning, to taste.
Spoon the sauce onto 4 plates and top with the scallops. Serve immediately with the sweet potato gaufrettes.