Preheat oven to 400 degrees F. Using a vegetable peeler, remove 2 strips of peel from the orange, avoiding the white pith. Set orange aside. Toss together the carrots, shallots, orange peel strips, and 3 tablespoons of the olive oil in a 15x10x1-inch baking pan. Season with sea salt and pepper, toss again, and spread out in the pan. Roast, uncovered, about 30 minutes or until the carrots are fork-tender. Remove and discard peel strips.
Meanwhile, section the orange over a small bowl, reserving juices; discard seeds. Squeeze any juices from the skin and membranes into the bowl.
Whisk together the juice in the bowl with the remaining 1 tablespoon olive oil and honey.
Place radicchio on a platter in single layer. Arrange roasted carrot mixture, shallots, and orange sections over the radicchio and top with hazelnuts. Drizzle with the dressing and sprinkle with additional sea salt. Serve immediately.