Preheat oven to 400°.
Remove and discard giblets and necks from hens. Rinse hens under cold water; pat dry. Remove skin, and trim excess fat. Working with 1 hen at a time, tie ends of legs together with cord. Lift wing tips up and over back; tuck under hen. Combine salt and pepper; sprinkle over hens. Place hens on a broiler pan coated with cooking spray; bake for 45 minutes.
Combine marmalade and lemon juice in a small saucepan; cook over medium heat 3 minutes. Place marmalade mixture in a blender; process until smooth. Brush hens with marmalade mixture. Bake an additional 15 minutes or until juices run clear, basting occasionally with marmalade mixture. Remove cord; split hens in half lengthwise. Garnish with rosemary sprigs, if desired.