I make smoothies every morning for my wife and myself (and have for over a year now), and when working out also added protein powder. The only difference between our recipe and yours is an inclusion of a few ounces of greek yogurt.
On the days when I knew the workout would run long (and potentially make me late for work), I was making them the night before with no problem. As yossarian said, as long as you make sure the protein powder is fully blended/dissolved you'll be fine. I've noticed no graininess/texture difference between night-before and morning-of.
The ingredients do separate a little overnight, but a quick shake or stir and they're back to normal.
I would say to try it and see how it works with your exact combination of ingredients.
Something to watch out for: my wife swears that sometimes, making them beforehand would cause a bit of a "sharp" edge to the taste of the smoothie - if this is true, my guess would be the interaction between the acid in the fruit and the base in the dairy. But, not being a chemist I can't speak to that. I can, however, say that I personally haven't noticed a difference based on whether it was made the night before or not.
I see that you're not using ice; I don't know if you're using frozen berries or not, but if you're used to a chunkier ice-like smoothie from frozen berries, you'll lose that texture of course.
Well, it wouldn't cost much to figure it out! I'll try a guess, though, and say that it will make peeling MORE difficult. The peel will be stiffer, and I think the pith might be even more likely to stick to the orange flesh, and maybe less likely to stick to the outer peel. But I'd like to know what your results are if you test it.
I'd say if you're having a lot of trouble peeling your orange, I've heard that giving it a good squeeze before starting can help, and there are also some easy-peel varieties out there now.
And of course the pith won't hurt you and unless you leave almost all of it, you're not likely to notice it after you run it through a blender with the rest of the orange!
Best Answer
One problem that I've had in the past with making smoothies ahead of time is getting the right consistency because many smoothie recipes rely on ice or frozen fruit to thicken them and thus are not great after several hours in the refrigerator.
I found and have been been playing with a make-ahead recipe that includes oatmeal and chia seeds placed dry in the blender and processed to the consistency of flour to thicken the smoothie, which means you can make them ahead of time without sacrificing thickness.
Recipe source: http://www.theyummylife.com/Oatmeal_Smoothies