Grease an 8-inch baking pan and line with parchment paper, allowing overhang on all sides.
In a medium-size heavy saucepan, combine condensed milk, coconut milk, butter, orange zest and shredded coconut. Stir constantly over medium heat until it begins to pull away from the pan and clumps together, about 10 minutes. Off heat, stir in the vanilla while still warm.
Pour into the prepared pan then spread evenly with an offset spatula until smooth. Bring to room temperature then wrap and chill until firm, at least 2 hours.
Place chocolate in a heatproof mixing bowl and set over a pot of gently simmering water. Stir constantly until the chocolate is completely melted. Off heat, stir in the grapeseed oil.
While still in the pan, pour half of the melted chocolate over the coconut mixture and spread in an even layer. Chill in the freezer until set, about 10 minutes. Lift out of the pan and gently turn onto a layer of parchment or wax paper. Pour remaining chocolate over coconut and spread in even layers so that it is coated on both sides. Return to freezer until set, an additional 10 minutes. Peel off of wax paper, trim on all sides, and cut into two rectangular tablets. Cut into desired shapes.