1. Trim back the skin on the duck breasts so it barely covers the meat. Score the fat in a diamond pattern.
2. Peel the oranges; remove the bitter white pith. Working over a bowl, cut in between the membranes to release the sections. Squeeze the membranes over the bowl; reserve the juice for the glaze.
3. In a medium, shallow baking dish, combine the shallots, wine, orange zest and 1/2 teaspoon of pepper. Add the duck breasts and turn to coat. Cover and refrigerate overnight.
4. In a small saucepan, boil the Grand Marnier with 1 cup of orange juice over moderately high heat until syrupy and reduced by half, about 12 minutes. In a small bowl, mix 3 tablespoons of the orange syrup with the rice vinegar. Season the vinaigrette with salt and pepper.
5. Light a grill. Slice each duck breast half crosswise into 1 1/2-inch-thick pieces. Strip two-thirds of the leaves from each rosemary branch, leaving a tassel at the top. Scatter the rosemary leaves over the hot coals or on the gas grill heat bars. Thread the pieces of duck onto the rosemary branches, leaving 1/2 inch between them.
6. Brush the asparagus with olive oil and season with salt and pepper. Grill the asparagus over a medium-hot fire, turning once, until crisp-tender, about 5 minutes. Let cool slightly and cut into 2-inch lengths. In a large bowl, toss the asparagus with the orange sections and the vinaigrette.
7. Season the duck brochettes with salt. Grill, skin side down, over a moderately low fire, brushing with some of the remaining orange syrup, until the skin is deeply browned and crisp, about 5 minutes. Turn the brochettes and grill, brushing frequently with the syrup, until the duck is medium rare. Transfer the brochettes to plates and serve with the asparagus and orange salad.
Make Ahead: The orange syrup and vinaigrette can be refrigerated separately overnight.
Wine Recommendation: A high acid but rich sparkling wine or a rich, aromatic white with citrusy notes and little oak will stand up to the acidic oranges and the smoky asparagus in this dish. Look for the bargain 2000 Goundrey Range Unwooded Chardonnay or the Nonvintage Domaine Chandon Blanc de Noirs Carneros 398.