Thaw scallops, if frozen. Rinse scallops; pat dry with paper towels. Make a horizontal cut through the center of each scallop, cutting almost to, but not through, the opposite side. Chill scallops until needed.
Cut off and discard fennel stalks, reserving the wispy leaves. Remove any wilted outer layers from bulb; cut a thin slice from the base. Cut bulb lengthwise into quarters; cut core out of each quarter. Snip enough of the leaves to measure 2 tablespoons; set aside.
Finely shred 1 teaspoon peel from one of the oranges. Working over a bowl to catch the juice, use a small sharp knife to peel and section oranges. Reserve 1 tablespoon of the juice.
For gremolata, in a small bowl combine the 2 tablespoons fennel leaves, the 1 teaspoon orange peel, 1 tablespoon of the oil, the parsley, and the 1 tablespoon pistachios. For vinaigrette, in a screw-top jar combine the 1 tablespoon orange juice, the remaining 2 tablespoons oil, the vinegar, and honey. Cover and shake well. Season to taste with salt and pepper.
Lightly grease a large grill pan; set aside. Stuff scallops with gremolata and secure with wooden toothpicks if necessary. Reserve any remaining gremolata until ready to serve. Lightly brush scallops with additional oil and sprinkle with salt and pepper. Place scallops in the prepared grill pan.
For a charcoal or gas grill, place grill pan with scallops and the fennel on the rack of a covered grill directly over medium-high heat. Grill for 11 to 14 minutes or until scallops are opaque and fennel is tender and lightly charred, turning once halfway through grilling. Remove any toothpicks from scallops. Cut fennel into slices.
To serve, divide arugula among dinner plates. Top with scallops, fennel, and orange sections; sprinkle with any remaining gremolata. Drizzle with vinaigrette and, if desired, sprinkle with additional pistachios.