In a small saucepan, combine the figs, dates, orange juice, candied orange peel, sugar, lemon zest and cinnamon. Bring the mixture to a boil over medium-high heat. Reduce the heat to medium-low and simmer for 5 to 8 minutes or until fruit is soft and the mixture is thick. Remove from the heat and add the chopped blanched almonds and 2 tablespoons Grand Marnier, if using. Set aside to cool to room temperature. Cover with plastic wrap once cooled until needed.
To assemble and bake the cookies, preheat oven to 375°F. Line a baking sheet with parchment paper and set aside. Remove the dough from the refrigerator and allow it to rest for 10-15 minutes before rolling out.
Place a piece of wax or parchment paper (at least 14×10 inches) on a clean work surface. Generously dust the paper with flour. Roll one portion of the dough into a 10×8-inch rectangle. Cut each rectangle into two 10×4-inch strips. Portion 1/4 of the filling down the center of each strip (in a rounded mound). CHILL the dough and filling as is for 10-15 minutes before rolling into cylinders.
Using the parchment paper as a guide, bring one long side of the dough up and over the filling. Repeat with the opposite side forming a tube and enclosing the filling. The dough should overlap slightly on top of the filling. Gently seal the edges.
Carefully transfer the filled strips to the prepared baking sheet placing them seam side down on the pan. Bake for 12 minutes or until lightly browned.
Remove from the oven and immediately slice each strip (using a large thin knife) diagonally into 1-inch pieces. Transfer the cookies to a wire rack to cool.