Make the caramelized oranges by slicing the orange into thin slices, about 2 mm thick. Combine the water and sugar and brush over each slice. Arrange on parchment paper and bake at 350°F/180°C for 15 minutes. Let cool completely.
For the sponge cake, whisk the egg yolks with milk and oil until smooth. Sift in the flour and salt and mix gently. Beat the egg whites to soft peaks, gradually adding the sugar, then fold into the yolk mixture carefully. Pour over the cooled orange slices in a 25 x 35 cm pan and bake at 350°F/180°C for 20 minutes.
For the cream, beat the cream cheese with cold heavy cream and powdered sugar until smooth and silky.
To assemble, spread the cooled sponge with the cream. Sprinkle the chocolate flakes evenly. Roll tightly and refrigerate for at least 1 hour before serving.