How can a Bavarian cream that includes orange juice thicken with so much liquid?
The egg yolks can thicken the liquid when you heat it, like in a standard egg custard (the home made version, not the one made from custard powder). But this is a fairly tricky procedure: if you heat it too much the mixture will separate. So best done on a double boiler ('bain marie').

And in addition, you have the whipped cream and the gelatine, which will help thicken the mixture on cooling*. I suspect that there's also a prescribed time in the refrigirator...

(*: as I've been taught, the swollen gelatine is first dissolved in a small amount of liquid, and the whipped cream is mixed with the rest when the gelatine just starts to set)