Cut orange in half crosswise; slice about 1/4 inch from bottom of each half so they will sit flat. Cut bell pepper in half lengthwise; discard seeds and membranes. Place orange halves, cut side up, and pepper halves, skin side up, on a foil-lined baking sheet; flatten peppers with hand. Broil 15 minutes or until blackened.
Place pepper halves in zip-top plastic bag; seal. Let stand 20 minutes; peel. Squeeze juice from orange over a bowl to equal 1/4 cup; discard oranges. Place peppers and orange juice in a food processor or blender; set aside.
Heat margarine in a small saucepan over medium heat. Add onion and carrot; sauté 12 minutes or until carrot is tender. Add onion mixture to food processor; process until smooth.
Combine flour, broth, and milk in saucepan; stir with a whisk until blended. Place over medium heat; bring to a boil. Reduce heat; add pepper mixture, salt, pepper, and paprika; simmer 10 minutes, stirring occasionally. Garnish with oranges, if desired.