Preheat the oven to 400 degrees.
Season the chicken breasts with salt and pepper.
In a large ovenproof skillet, heat the annatto oil over medium-high heat until hot. Add the chicken breasts and cook, turning once, until golden on both sides. Pour off any excess oil. Place the chicken in the oven and cook for about 20 minutes, or until juices run clear when pierced. Set aside in a warm place.
Meanwhile, heat a large skillet over medium-low heat. Add 2 tablespoons of the olive oil and then the bacon, and sauté until it is beginning to crisp. Add 3 tablespoons of the butter and allow it to melt, then add the garlic and Scotch bonnet and cook for 30 seconds.
Turn the heat up to medium-high, add the onion, bell peppers, celery, fennel, and bay leaf, and sauté until the vegetables are softened, about 5 minutes. Add the tomatoes and remove from the heat. Season to taste; set aside.
To make the sauce, pour the orange juice into a large saucepan. Add the clams and mussels, cover, and steam them open over medium-high heat; transfer them to a bowl as they open. When they are all cooked, add the cream, nuts, dried shrimp, and ginger, and cook for about 2 minutes. Add the tomato and vegetable mixture, season with salt and pepper, and keep warm over very low heat.
Pat the scallops dry and season with salt and pepper. Heat the remaining 2 tablespoons olive oil and I tablespoon butter in a large nonstick skillet over medium-high heat until quite hot. Sear the scallops, turning once, until golden brown on each side, 1½ to 2 minutes on the first side and 45 to 60 seconds on the second side. Remove from the heat.
To serve, ladle the sauce into six bowls. Put a chicken breast and 2 scallops in each bowl, followed by a clam and a mussel. Season with salt and pepper.