Combine the grapefruit and orange juice with the lemon zest, cornstarch and sugar and mix well with a whisk.
Bring the liquid to a boil in a small saucepan, stirring constantly. Remove from the heat and leave to cool over a pan of cold water. Then refrigerate for 2 hours, stirring occasionally.
Peel the grapefruit and detach the segments.
Whip the cream with the vanilla sugar and fold into the chilled grapefruit cream. Transfer to cocktail glasses and serve garnished with grapefruit segments and lemon balm.