I was thinking about doing that, I will pickup some rust converter this week and see if it turns black when applied, if not I will just apply some undercoating. Thanks for all of the replies, I will report back on what I find out!
Update:
I looked this again when I swapped my wheels out for the winter, and it no longer appeared orange, or looked like rust. I tested it with rust converter but it was inconclusive because the rust converter which is supposed to turn black is black out of the can. However, after much closer inspection, I think these are simply small chips in the undercoating, not rust. I will probably apply rust converter and undercoating in the spring to be safe.