Place oven rack in top third of oven. Heat to 400°F. Place potatoes in shallow baking pan. Bake in top third of oven until tender, 50 to 55 minutes. Let cool; peel.
Toast pecans in small skillet until slightly browned, 6 minutes.
Slice potatoes 3/4 inch thick. Melt butter in skillet. Add sugar; increase heat, stirring, until foamy, 3 minutes. Add rind, juice, nutmeg and salt; cook to thicken, 4 minutes. Add potatoes; toss until glazed, 4 minutes. Remove from heat. Add vanilla. Top with pecans. Serve.