Pour broth into large pot. Add enough water to broth to almost fill pot.
Add salt and bring to boil. Stir in orzo and boil until just tender but still firm to bite, stirring occasionally. Drain well. Return to pot. Mix in cream, oil, feta and dill. Season with salt and pepper. Transfer to 1 1/2 quart baking dish. (Can be prepared 1 day ahead. Cover and refrigerate. Bring to room temperature before continuing.)
Preheat oven to 350 degrees. Sprinkle orzo with cheese. Bake until heated through, about 40 minutes.