I made a delicious blood orange marmalade, but it did not fully set. Can it be saved?

Yes, you should be able to remake it - the National Center for Home Food Preservation has several methods: http://nchfp.uga.edu/how/can_07/remake_soft_jelly.html

I'm a little surprised it didn't set because there's so much pectin in citrus peel and the seeds. Did you save the seeds to make a little cheesecloth bundle to cook with the marmalade? If not, I would definitely do that next time. And was your recipe made to prepare all at once, or did it require a couple of days to make? I find the multiple day method extracts every bit of pectin and it also has the advantage of spreading the work out over several days:

First day, prep the fruit and peels, put seeds in cheesecloth and tie up, measure out an equal volume of water, pour over fruit, peels, and seed bundle, cover with plastic wrap and let sit overnight.

Second day, put mixture into a pot, bring to a boil, reduce to a simmer and simmer 15 minutes. Turn off heat and let sit in the pot overnight.

Third day, measure the mixture and add equal volume of sugar. Bring to a boil and cook until it reaches the set point. Then remove and discard seed bundle and process as usual.