@tsarstepan,
Mostly because, after you peel an orange, you are left with what are really just sacs of fragile orange fruit. There's no there there, unlike a pear or a peach or apples, there's no fruit that can stand being cooked.
I add orange to my cranberry sauce but mostly it's just the juice.
Now, dried oranges...candied, that's another story ...most of that ends up in Fruitcake.
Joe(have a slice!)Nation