Preheat oven to 350°. Toast pistachios on rimmed baking sheet, tossing occasionally, until golden brown, 8-10 minutes; let cool, then chop.
Meanwhile, bring dates, zest, vanilla, 1 Tbsp. honey, and 1 cup water to boil in small saucepan, reduce heat, and simmer gently until dates are very soft and liquid is reduced by half, 8-10 minutes. Place rhubarb in small baking dish and toss with cinnamon and date mixture. Roast, turning halfway through, until rhubarb is tender but not falling apart, 20-25 minutes.
Whisk yogurt and remaining 1 Tbsp honey in a small bowl. Serve spiced rhubarb and any juices with yogurt and pistachios.