Cut a pocket horizontally into each slice of bread, without cutting all the way through. Set aside.
In a small bowl, stir together the cream cheese, orange peel, OJ, and sugar. Spoon 1 heaping tsp. into each bread pocket. Use a knife to spread evenly.
In a small bowl, beat together the milk, flour, and vanilla. Place bread, one at a time, into the milk mixture. Let soak about 5 seconds and then flip over and let soak another 5 seconds.
Melt the margarine on a griddle or pan over medium heat. Cook the bread slices for 3 to 4 minutes on each side, until golden brown.
Sprinkle with confectioner’s sugar and maple syrup.