In a heavy-based saucepan, whisk together milk, sugar, cornflour and ½ tsp vanilla and lemon rind. Place over medium heat and, whisking constantly, bring to the boil. Reduce heat and simmer for a minute, then remove from heat and cool. Stir through candied orange and cinnamon and set aside until required.
For pastry, cream butter and sugar using an electric mixer, then add egg yolk and beat to combine. Stir in lemon rind, ¼ tsp salt, flour and 50ml water and knead gently until a soft dough forms. Wrap in plastic wrap and refrigerate for at least 2 hours.
Preheat oven to 180C. Roll out dough to about 3mm thick on a lightly floured work surface, then cut out 8 circles using an 8cm-diameter cutter and 8 circles using a 10cm-diameter cutter. Spoon ¼ cup of custard mixture into the centre of each 8cm circle to create a mound. Brush edges with water and place the larger pastry circles on top, pressing edges to seal. Place on baking paper-lined oven trays and bake for 15-20 minutes or until golden. Transfer to a wire rack to cool.
Whisk together icing sugar, 2 tbsp boiling water and remaining vanilla in a bowl until smooth. Spoon icing over cooled pastries and place a cherry on top. Biscuits will keep in the refrigerator for up to three days.