Combine rice, water and vanilla bean in a saucepan and bring to a boil.
Reduce heat to medium and cook, stirring frequently, until the water has been absorbed, about 15 minutes.
Add milk and raise heat to bring the milk up to temperature.
Once the milk starts to simmer, lower the heat to low.
Simmer on low heat, stirring frequently, for about 20-25 minutes. It should be thick and creamy and the pudding should pull away from the pan when you run a spoon through it.
Add sugar and stir to combine.
Set it aside to chill.
Meanwhile, make the whipped cream.
In a large bowl, whip the heavy cream for a a few minutes, until it starts to thicken.
Add the vanilla sugar. Whip until stiff peaks form.
Using a rubber spatula, gently fold in the whipped cream and most of the orange pieces, reserving a few to garnish the top.
To serve, garnish with grated chocolate and/or almonds, as desired.