Prepare a grill for medium heat. If using a charcoal grill, build an even layer of hot coals on the bottom and remove the ring if it has one so the coals are exposed.
Prepare the foil packets: Lay out a double layer of large heavy-duty aluminum foil pieces in an X formation, totaling 2 packets. Distribute the peaches, cut side down, 2 tablespoons of the honey and the butter evenly between the packets. Bring up all 4 sides of the foil, but don't seal. Grate the lemon zest evenly between each packet. Squeeze the lemon juice evenly between each packet or add 2 tablespoons of white wine to each packet. Tightly seal the foil. Place the packets directly onto the coals and cook until the peaches are tender and cooked through, 10 to 12 minutes.
Meanwhile, vigorously whisk the mascarpone, heavy cream, remaining 2 tablespoons honey, vanilla extract, orange zest and orange juice in a large bowl until lightened and fluffy, 3 to 5 minutes.
Remove the foil packets from the grill, carefully open and allow some steam to escape. Spoon some peaches along with some of their juices into a serving bowl. Dollop the citrus mascarpone over the top. Garnish with crushed almonds and shortbread cookies. Serve!
(Alternatively, you can bake the foil packets in a 350 degrees F oven for 8 to 10 minutes.)