Preheat oven to 375°F. Cut two of the oranges into eight wedges each. Finely shred enough peel from remaining oranges to make 1½ teaspoons. Juice the remaining two whole oranges; add enough additional orange juice to measure 1 cup. Set orange wedges, peel and juice aside.
Prepare mascarpone filling: In a small bowl, combine mascarpone cheese, sugar and 1 teaspoon of the orange peel; set aside.
Wash fresh figs gently; pat dry with paper towels. Cut off stems, if present. Quarter the figs lengthwise, cutting almost to but not through the bottoms. If desired, gently remove any loose seeds. Fill fig quarters with mascarpone filling. Gently press each filled fig into a teardrop shape.
On a clean surface, lay out one sheet of the phyllo dough; coat with nonstick cooking spray. Keep the remaining phyllo covered with plastic wrap, removing sheets as you need them. Sprinkle with 2 teaspoons of the very finely chopped pistachio nuts; place another phyllo sheet on top. Coat with nonstick cooking spray; sprinkle with another another 2 teaspoons of the nuts. Repeat with another phyllo sheet, nonstick cooking spray and 2 teaspoons nuts to make a stack of three sheets.
Cut each phyllo stack in half lengthwise and then in half crosswise to make four rectangles. Cut each rectangle diagonally in half to make two triangles (eight total triangles). Place one of the filled figs on its side on one of the triangles about 1½ inches in from the shortest side. Fold the two corners closest to the fig up over the fig, overlapping as needed. Fold the remaining corner of the triangle up over the fig to enclose the fig. Coat top of phyllo packet with nonstick cooking spray and sprinkle with some of the remaining pistachio nuts. Carefully transfer phyllo packet to a large ungreased baking sheet. Repeat with remaining phyllo triangles, stuffed figs and nuts to make eight packets.
Bake wrapped figs for 6 to 8 minutes or until golden brown.
Meanwhile, in a large skillet, heat olive oil over medium heat. Add orange wedges; cook about 3 minutes or until browned, turning to brown evenly. Remove orange wedges from skillet; set aside.
Prepare glaze: In a small saucepan, stir together orange juice, honey, arrowroot or cornstarch and the remaining ½ teaspoon orange peel. Cook and stir until thickened (do not boil if using arrowroot). (If using cornstarch, cook and stir until thickened and bubbly. Cook and stir for 2 minutes more.) Remove from heat.
To serve, spoon warm glaze onto plates. Top with phyllo-wrapped figs and the orange wedges. Serve warm.
Tips: If using a sugar substitutes, we recommend from Splenda® Granular or Sweet 'N Low® Bulk or packets. Follow package directions to use product amount equivalent to 1 teaspoon sugar.
If you can't find fresh figs, use 8 dried figs. In small saucepan, combine dried figs and enough water to cover. Heat to boiling; reduce heat. Cover and simmer for 5 minutes. Remove from heat; let stand for 15 minutes. Drain and cool. Continue as directed.