To segment an orange, use a sharp knife to slice off the top and bottom of the orange so it sits level on a work surface. Following its curve, cut away peel and white pith. Holding over a bowl, cut along both sides of each segment (close to membrane) to release. Squeeze membranes to collect additional juice.
In a small bowl, mix orange juice and marmalade to combine. Add orange segments; mix gently to coat. (To store sauce, cover and refrigerate up to 2 days.)
To serve, divide ricotta among four glasses; top with sauce. Serve with cookies, if desired.