Finely grate peel from 1 orange and reserve. Cut off peel from second orange and white pith from both oranges. Using small sharp knife and working over bowl to catch juice, cut between membranes to release orange segments. Cut segments in half crosswise; reserve juice.
Combine cranberries, wine, sugar, ginger, cinnamon, cloves, nutmeg, grated orange peel, and reserved juice from oranges in medium saucepan. Stir over medium-high heat until sugar dissolves and mixture boils. Reduce heat to medium-low and simmer uncovered until berries burst and juices thicken slightly, stirring frequently, about 20 minutes. Remove from heat; stir in orange segments. Transfer sauce to bowl. Cool to room temperature. Cover and chill. (Can be prepared 1 week ahead. Keep refrigerated.)