Preheat your grill for indirect cooking to medium heat, about 300° using hickory or oak for smoke flavor.
Pat the Cornish hens dry with paper towels. Brush all over with olive oil, then season generously with Out Grilling SPG Seasoning on all sides.
Tie the hens with butcher twine and then add a little more of the seasoning.
Place the hens on the grill over indirect heat, breast side up. Close the lid and cook until the internal temperature reaches about 155 to 160 degrees in the thickest part of the breast, flipping once if needed for even cooking.
While the hens are grilling, add the orange marmalade, pineapple juice, honey, soy sauce, apple cider vinegar, corn starch, granulated garlic, kosher salt and cayenne pepper to a saucepan. Bring to a boil, then reduce heat and simmer for 1 to 2 minutes until thickened. Remove from heat.
About 10 minutes before pulling the hens from the grill, brush generously with the orange glaze. Close the lid and allow the glaze to set and caramelize slightly.
Remove the hens from the grill when they reach 165° internal temperature with a digital thermometer inserted near the thick part of the thigh.
Brush again with glaze just before serving.