In a saucepan, over medium heat, combine the heavy cream, vanilla bean, seeds and orange zest. Bring the liquid to a simmer and cook until it's reduced to 1 1/2 cups.
In the meantime place the gelatin sheets in a bowl and cover with cold water, about 5 minutes. Pour off water and squeeze any excess water from the softened gelatin sheets. Remove the cream mixture from heat. Whisk in the confectioners' sugar until fully incorporated. Whisk in the softened gelatin sheets, milk, and orange juice and let stand for 3 minutes. Stir to ensure that the gelatin sheets are well dissolved. Strain through a very fine sieve into a medium mixing bowl.
Place mixture in an ice bath, stirring continually for about 3 minutes to allow it to thicken slightly. Gently stir in half of the whipped heavy cream and then gently fold in the remaining cream. Divide the mixture into the individual molds, filling the molds 1/4-inch from the top. Refrigerate for 1 hour, or until the panna cottas have cooled completely and the gelatin has set.
To unmold the panna cotta, take the molds directly from the refrigerator and carefully dip them in hot water for 15 seconds. Run a sharp knife around the sides of the mold. Invert the molds over a plate and serve immediately with Sugared Champagne Grapes.
Sugared Champagne Grapes:
Whisk together the powdered egg white and water until frothy and light. Brush the champagne grapes lightly with the egg white mixture and roll in 1/2 cup of the sugar. Place the sugared grapes on a bed of the remaining sugar and dry at room temperature for several hours.
If gelatin sheets are unavailable you can substitute 1 package of powdered gelatin.