First, make the reduction: In a small pot, combine the orange juice and honey and simmer over low heat, stirring occasionally for about 30 minutes, until syrupy.
Prepare the cheese parcels by loosely wrapping each section of cheese in filo pastry, pressing the seams together. While working on assembling them, keep the pastry sheets and finished parcels moist under a damp tea-towel to avoid drying out.
In a small saucepan, heat the sunflower oil over medium heat. When it is smoking, quickly plunge the parcels into the oil for 20 seconds, or until the pastry turns golden. Using a slotted spoon, transfer to a plate lined with paper towels to absorb any excess oil.
Immediately transfer to a serving plate, drizzle with the reduction, sprinkle with nuts, and dust with confectioner's sugar, if desired. Serve immediately.