In a small bowl, beat cream cheese, orange marmalade and orange juice until blended; stir in pecans.
In a large bowl, combine baking mix, sugar and yeast. Stir in warm water to form a soft dough. Turn dough onto a lightly floured surface; knead until smooth and elastic, about 5 minutes. Cover and let rest 10 minutes. Roll into an 11x8-in. rectangle. Spread cream cheese mixture to within 1/2 in. of edges. Roll up jelly-roll style, starting with a long side; pinch seam to seal. Cut into 12 slices.
Place in a greased 13x9-in. baking dish, cut side down. Cover with a kitchen towel. Let rise in a warm place until doubled, about 1 hour.
Preheat oven to 350°. Brush tops with melted butter. Bake until golden brown, 35-40 minutes. Cool slightly in pan on a wire rack. For glaze, stir together confectioners' sugar and marmalade; drizzle over warm rolls.