Poke the cloves into the slices of 2 whole oranges and gently set them in the bottom of a large stockpot or Dutch oven. Reserve the third orange for finishing garnish.
To the stockpot, add the orange juice, fresh peeled ginger, bay leaf, whole cinnamon sticks, brown sugar, anise, and the halved vanilla bean. Bring this liquid to a low boil.
Reduce the heat to low and simmer for 30 minutes. Add 1 cup of the Cabernet Sauvignon and continue to simmer until the liquid thickens and becomes syrupy, an additional 30 minutes.
Add the rest of the wine to the stockpot and stir in the spiced rum. Bring to a simmer, 3-5 minutes.
Use a ladle to pour the spiced wine through a strainer and into mugs or warm-temperature glasses, leaving the clove-spiked oranges behind. Garnish with a fresh cinnamon stick and fresh orange slices. Additional garnishes are entirely optional.