Pat chicken dry with paper towels and place on a rimmed baking sheet in a single layer. Drizzle with olive oil and sprinkle with rub.
Roll the chicken thighs up from the short side and place seam side down. Drizzle with olive oil and sprinkle the outside with more rub.
Prepare a grill fire to 350° using hickory or oak chunks for smoke flavor.
Meanwhile, make the orange sauce by combining the orange juice, orange marmalade, soy sauce, rice vinegar, sugar and spices in a saucepan.
Cook over medium heat, whisking until well combined. Bring the mixture to a low boil, whisking continually until sauce is thickened. Remove from heat and set aside. Pour half of the sauce into a bowl for glazing the chicken and reserve the other half for serving.
Place chicken onto the hot grill over indirect fire. Cook with the grill closed about 10 minutes.
Brush chicken with orange sauce in a thick layer. Close the grill and continue to cook, basting every 5 minutes until chicken reaches 165° using a digital meat thermometer.
Remove chicken from the grill and garnish with toasted sesame seeds and cilantro if desired.
Serve chicken over cooked rice with additional sauce if desired.