Combine milk and vanilla in a medium saucepan and heat over low heat until warm. Sift confectioners' sugar into milk mixture. Whisk slowly, until well combined. Remove the glaze from the heat and set over a bowl of warm water. Dip doughnuts into the glaze, 1 at a time, and set on a draining rack placed in a half sheet pan for 5 minutes before serving.
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