Preheat oven to 180 C (320 F). To make the caramel sauce, place the butter, sugar and water in a large, heavy-based saucepan over high heat, stirring until the sugar is dissolved. Bring to the boil, then remove from heat and set aside.
Place the flour, sugar and vanilla in a large bowl and stir to combine. Ad the butter and, using your fingertips, rub it into the flour mixture until it resembles fine breadcrumbs. Gradually add the milk, stirring until a dough forms. Divide the dough into 6 round pieces, place into the caramel mixture and top with the apples. Bake for 30 minutes or until the dumplings are cooked when tested with a skewer.