Peel orange; reserve flesh for another use. Using tip of small knife, scrape white pith from orange rind; discard pith; set aside rind.
Place rice in fine-holed or mesh colander. Rinse rice under cold water. In medium puchero, or medium, heavy-bottomed pot, add rice, milk, cinnamon stick, salt, vanilla and orange rind. Bring rice mixture to a boil over medium-high heat, stirring occasionally with wooden spoon and scraping bottom of pot. Reduce heat to medium low; simmer, stirring occasionally, and continuing to scrape bottom of pot, until rice is tender and the texture resembles a thick custard, about 40 minutes. Stir in sweetened condensed milk; cook, stirring, until flavor is distributed and absorbed, about 5 minutes more.
Evenly divide rice pudding among ramekins; serve warm or chilled. For caramelized sugar crust, evenly divide pudding among oven-safe serving bowls. Sprinkle 2 tbsp. sugar atop each bowl. Heat broiler. Place bowls 3 inches from heat source. Broil until sugar turns dark golden brown, about 1 minute. Or, use hot caramel iron or culinary torch to caramelize sugar; allow melted sugar to harden; Serve warm.