Preheat oven to 325°F. Scatter nuts on rimmed baking sheet. Add 2 tablespoons water and sugar; toss until sugar dissolves and syrup coats nuts. Roast until water evaporates and nuts are crisp, stirring once, about 15 minutes. Cool on sheet.
Whisk vinegar, orange peel, and mustard in small bowl to blend. Gradually whisk in olive oil. Season dressing with salt and pepper.
Combine lettuce and cheese in large bowl. Cut peel and pith off oranges. Cut between membranes, releasing orange segments. Add segments and walnuts to salad. Toss with enough dressing to coat. Serve, passing remaining dressing.