To make the jam, combine the rhubarb, sugar, and water in medium saucepan. Split the vanilla bean, scrape the seeds into the pan, and toss in the pod. Bring to a simmer over low heat, cook, stirring often, until rhubarb softens and forms a soft mass, about 10 minutes. Remove and discard vanilla bean. Transfer to a shallow bowl and let cool. Can be made ahead and refrigerated in an airtight container, for up to 1 week. If refrigerated, return to room temperature before using. You may substitute 1 cup of your favorite jam or preserves for the homemade.
To make the shortbread, whisk together the flour, baking powder, and salt. In the bowl of an electric mixer fitted with the paddle attachment, beat the butter on high speed until pale and fluffy. Add the egg yolks and sugar and beat until sugar is dissolved and the mixture is light. Reduce mixer speed to low and add the dry ingredients, mixing only until the ingredients are incorporated.
Turn the dough out onto work surface and cut into 2 pieces. Shape each piece into a ball and wrap in plastic wrap. Place in freezer until firm, about 30 minutes. Can be made ahead and frozen for up to 1 month. Thaw in refrigerator overnight.
Assemble and bake; preheat oven to 350 degrees F with rack in the center.
Remove 1 ball of dough from freezer and, using the large holes on a box grater, grate the dough into a 9 by 13-inch baking dish. Pat the dough gently just to get it into the corners (you don't want to press it down) and spread with the rhubarb jam. Grate the remaining dough over the jam and press it lightly to distribute it evenly. Bake until golden brown, about 40 minutes. Dust with confectioners' sugar as soon as it is removed from oven. Cool on a wire rack.
Cut the shortbread into bars when it is cool. You can cut whatever size bars please you, although as a rough guide, 3-inch squares, or rectangles 1 1/2 inches by 3 inches make nice servings. Store covered at room temperature for up to 2 days.
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