How to Make It
In a medium saucepan, combine the heavy cream and sugar and cook over moderate heat, stirring with a wooden spoon, until hot and the sugar is dissolved, about 5 minutes. Let cool slightly, then whisk in the lemon zest, lemon juice and a generous pinch of salt. Pour the pudding into six 5- to 6-ounce glasses or ramekins; cover tightly with plastic wrap. Refrigerate the puddings until well-chilled and set, at least 6 hours or overnight.
In a medium saucepan, combine the sugar and water and cook over moderate heat, swirling the pan until the sugar dissolves, about 3 minutes. Continue to cook, brushing down the side of the pan with a wet pastry brush, until an amber caramel forms, 3 to 5 minutes. Add the apples, orange juice and the vanilla bean and seeds; the caramel will harden, but it will melt again. Cook over moderate heat, stirring occasionally, until the apples are crisp-tender and coated in a light caramel, about 8 minutes; discard the vanilla bean. Stir in the Calvados, lemon juice, orange zest and a pinch of salt. Let cool completely, then refrigerate until chilled.
Serve the puddings topped with the apple compote.