For the scones: Preheat the oven to 350 degrees F. Split the vanilla beans in half lengthwise and scrape out all the vanilla "caviar" inside. Stir the caviar into the cream. Set aside for 15 minutes.
Sift together the flour, granulated sugar, baking powder and salt. Cut the cold butter into pats, and then use a pastry cutter or two knives to cut the butter into the flour. Keep going until the mixture resembles crumbs.
Mix the vanilla cream with the egg, and then combine with the flour mixture. Stir gently with a fork just until it comes together.
Turn the dough onto a floured surface and lightly press it together until it forms a rough rectangle. (Mixture will be pretty crumbly.) Use a rolling pin to roll into a rectangle about 12-by-7 inches and 1/2-to-3/4-inches thick. Use your hands to help with the forming if necessary. Then cut the rectangle into 12 symmetrical squares/rectangles. Next, cut each square/rectangle in half diagonally, to form two triangles. Transfer to a parchment or baking-mat-lined cookie sheet and bake for 18 minutes, removing from the oven just before they start to turn golden. Allow to cool for 15 minutes on the cookie sheet, and then transfer to a cooling rack to cool completely.
For the glaze: Split the vanilla bean in half lengthwise and scrape out the caviar. Stir the caviar into the milk. Set aside for 15 minutes.
Mix the powdered sugar and salt with the vanilla milk, adding more powdered sugar or milk if necessary to get the right consistency. Stir or whisk until completely smooth.
One at a time, carefully dunk each cooled scone in the glaze, turning it over if necessary. Transfer to parchment paper or the cooling rack. Allow the glaze to set completely, about an hour. Scones will keep several days if glazed.