Poach for tenderness: In a pot, combine octopus, 1 qt water, 1 Tbsp salt, and a bay leaf. Simmer gently 35 min. Cool in the liquid 10 min, drain, and pat dry.
Blend achiote oil: Whisk achiote paste, olive oil, orange juice, lime juice, garlic, oregano, salt, and pepper until smooth. Reserve 2 Tbsp for post-grill drizzle.
Marinate: Brush tentacles generously with the achiote oil. Rest 10 min while you preheat grill to medium-high.
Grill & baste: Lay tentacles on oiled grates; grill 2-3 min per side, basting with more oil, until edges char and turn brick-red.
Finish & serve: Slice into bite-size curls, drizzle the reserved achiote oil, shower with cilantro, and hand out lime wedges.