In a small bowl, whisk together the orange zest, orange juice, olive oil, vinegar, 1 teaspoon salt, and 1/3 teaspoon pepper. Set aside.
Cut the heads of endive in half lengthwise, remove the triangle of core at the base of each half so the leaves separate, and cut the leaves in half again lengthwise. Place in a large bowl. Drizzle the leaves with the vinaigrette and add the walnuts, Roquefort, and apple. Add the arugula and toss. Zest the orange into the salad with a strip zester. Peel the orange and remove the white pith around the orange with a small sharp knife. Cut the orange sections between the membranes and toss them on the salad. Discard the membranes. Sprinkle with salt and serve.