For the dough: Place the milk and butter in a small pan and heat gently so the butter melts and the milk is warm.
Place the flour in a large bowl, add the yeast to one side and the superfine sugar and salt to the other. Crack the egg into the middle and gradually add the warm milk and butter (make sure the milk is warm and not hot). Using your hands, bring the mixture together until a soft dough is formed. Place on a lightly floured work surface and knead for 5 minutes, until you have a smooth dough. Place in a lightly greased bowl, cover and leave to proof until doubled in size--this will take between 1 and 3 hours.
For the filling: Drain the cherries from the syrup and heat the syrup in a pan with the caster sugar. Mix the cornstarch with a little water to slacken, then add to the warm syrup in the pan. Heat until beginning to boil and thicken. Remove from the heat and add the cherries.
Tip the dough onto a lightly floured work surface and divide into 6 equal pieces. Place three or four cherries in the middle of each ball. Bring the dough up around the cherries, and pinch the top to seal. Place the balls onto a work surface with pinched bit now on the bottom. Gently roll into a ball. Place on a tray and leave to proof for 10 minutes.
For the cooking liquid: Take a large casserole pan and heat it very gently. Add the butter so it begins to melt, then add the salt and caster sugar. Take the dumplings and begin by placing one in the center of the pan, then place the remaining dumplings around the edge, leaving space between them to expand. Pour in water to a depth of about 1 centimeter (.4 inches). Cover the pan and cook on low to medium heat for 15 to 20 minutes. After this time, remove the lid; if there is still liquid present, increase the heat and cook for a further 5 minutes. Be careful not to burn the dumplings. They should be golden on the bottom, set on the top, and doubled in size.
Meanwhile, make the custard. Split the vanilla bean in half and scrape out the seeds. Combine the seeds and milk in a small saucepan and heat to just below boiling point. In a bowl, beat the egg yolks, caster sugar and cornstarch until well mixed. Pour the hot milk into the egg yolk mixture and then return to the pan. Whisking continuously, simmer over very low heat until the custard has thickened. (Don't rush this by increasing the heat or the custard will split.)
To serve, remove the dumplings from the pan, dust with confectioners' sugar and pour over the custard. You can serve any remaining cherries on the side.