Remove rind from 2 oranges using a vegetable peeler (avoid the white pith of the rind). Cut orange rind into 1-inch strips to equal 3 tablespoons. Repeat procedure with 1 grapefruit.
Peel and section all oranges and grapefruit over a large bowl; squeeze membranes to extract juice, reserving 1/4 cup juice. Set orange and grapefruit sections aside, and discard membranes.
Combine rind strips, water, and sugar in a small saucepan, and bring to a boil. Cover, reduce heat, and simmer 2 minutes. Stir in reserved citrus juice, and simmer, uncovered, 10 minutes or until slightly thickened. Remove from heat; stir in liqueur and grenadine. Pour mixture into a small bowl; cover and chill 30 minutes.
Arrange 3/4 cup orange and grapefruit sections on each of 4 salad plates, and spoon 1/4 cup juice mixture over each compote.