1. Peel oranges, being sure to remove all white pith. Working with one orange at a time, slice crosswise into 1/4" slices. Reconstruct the orange with layers of Gorgonzola Dolce (use a cookie cutter for nice, round slices), adding a 1/2 Tbsp. sugar and a sprinkling of anise seeds between layers. Use a decorative skewer to secure the slices if necessary. Sprinkle the remaining anise seeds onto the outside. Chill for at least 15 and up to 30 minutes.
2. In a small heavy nonstick saucepan, combine brown sugar and water. Bring to a boil, then cook over medium-high heat 2 minutes. Add vinegar and cook over medium heat until slightly syrupy, about 4-6 minutes. Remove from heat and cool to room temperature.
3. To serve, place orange in center of each dessert plate; surround with small clusters of grapes and nuts. Drizzle oranges with syrup.