Coarsely grate or finely dice marzipan. Knead together with nuts, almond kernels and rum. Rinse the apples and remove the core with an apple corer.
Fill apples with the marzipan-nut mixture. Place in a greased ovenproof dish. Put fat in flakes on top. Bake in a hot oven (electric oven: 175 °C / convection oven: 150 °C /gas: level 2) for 20-25 minutes.
Stir milk and sauce powder in a high mixing bowl with the whisk of a hand mixer for approx. 1 minute. Dust the baked apples with powdered sugar and serve with the vanilla sauce.