The night before, combine the cream cheese, preserves, and walnuts, mixing well, and refrigerate overnight. In the morning, take it out 15 minutes before you're ready to prepare the French toast.
Spread 1/4 of the cream cheese mixture on one slice of bread. Pair with another slice to make a sandwich. Repeat with the rest of the slices and cream cheese.
In a medium bowl, whisk together the eggs, milk, orange peel, cinnamon, sugar, and vanilla, beating until well combined.
Heat a large cast iron skillet over medium to medium-high heat and melt 1/2 of the butter in the pan.
Dip 1 sandwich in the egg mixture, let it sit for 5-10 seconds, then flip over and dip that side, also letting it sit for 5-10 seconds. Add it to the heated pan.
Repeat so you'll have 2 sandwiches at a time in the pan.
Flip when golden brown, then cook until that side is also golden brown.
Plate and sprinkle confectioners' sugar over the top before serving.
Repeat with other 2 sandwiches.