Cut the shallots in half lengthwise to separate the lobes. Remove the papery skin and any dry outside layers and trim the tip and the tail. Slice thinly, crosswise.
Heat the oil in a medium skillet. Stir in the shallots and sauté until they begin to soften. Add the red wine, water, honey, both vinegars, and the salt. Split the vanilla bean down the middle with a knife and scrape out the tiny seed pods. Add the bean and its scrapings to the skillet, along with the rosemary, if using. Grind in a generous amount of black pepper, at least 20 turns of the grinder.
Bring to a simmer, then reduce the heat as low as you can. Cook, stirring occasionally, until the most of the liquid is gone, about an hour. Remove the vanilla bean and rosemary sprig.
Serve warm, or spoon into jars and refrigerate. Serve with goat cheese and crostini toast or crackers.