Step 1 Line a sheet pan with parchment paper. In a medium bowl or liquid measuring cup, whisk together the heavy cream, egg, and vanilla. Set aside.
Step 2 In the bowl of a stand mixer fitted with a paddle, combine the flour, sugar, baking powder, and salt. Add the butter and mix on low speed until the flour-coated pieces are the size of peas.
Step 3 Remove the bowl from the mixer and use a spatula to fold the wet ingredients into the dry until just combined. Add the sprinkles and mix again until combined. Transfer the dough to a lightly floured surface and knead four to six times, until the dough comes together, adding more flour as necessary if the dough is sticky. Pat the dough gently into a square and roll it into a 12 in [30.5 cm] square, dusting with flour as necessary. Fold the dough in thirds, like a business letter. Fold the dough in thirds again by folding in the short ends, making a square. Transfer it to the prepared sheet pan and put it in the freezer for 10 minutes.
Step 4 Return the dough to the floured surface, roll it into a 12 in [30.5 cm] square, and fold it in thirds. Turn over the dough so it’s seam-side-down, and gently roll out the dough into a 12 by 4 in [30.5 by 10 cm] rectangle. With a sharp knife, cut it crosswise into four equal rectangles, then cut each rectangle diagonally into two triangles. Transfer the scones to the prepared sheet pan and freeze the scones while the oven is preheating.
Step 5 Meanwhile, position an oven rack in the middle of the oven and preheat the oven to 375F [190C]. Stack the sheet pan with scones on another sheet pan. Brush the tops of the triangles with a little heavy cream, making sure it doesn’t drip down the sides. Bake until the tops and bottoms are light golden brown, rotating the pans halfway through, 18 to 25 minutes.
Step 6 For the icing: While the scones are baking, in a medium bowl, whisk together the melted butter, water, vanilla, and salt until smooth. Add the confectioner’s sugar and use a spatula to mix together, then whisk until well combined and smooth. Add more water, one tablespoon at a time, to thin the icing to your preferred consistency; the icing should be thick but pourable.
Step 7 Transfer the top sheet pan to a wire rack and ice the scones immediately, using the back of a spoon or offset spatula. Sprinkle the tops with sprinkles. Scones are best eaten the same day they are made.
