Preheat oven to 400°F (204°C). Line a sheet pan with parchment paper or a silicone baking mat and set aside.
In a large bowl, whisk the flour, baking powder, cinnamon, and salt. Grate the frozen butter and toss into the flour mixture. Using a fork or your fingers, cut the butter into the flour until the mixture resembles coarse meal. Toss in apple and set aside.
In a small bowl, whisk the milk, egg, brown sugar, and vanilla together. Add the wet ingredients to the dry and toss the mixture together with a rubber spatula until moistened. Try not overwork the dough; it will be a little wet.
Turn out the dough onto a floured surface using a bit of flour on the hands so they don't stick.
Press the dough into an 8 inch disc. Using a sharp knife cut into 8 equal triangles. Place scones at least 2 inches apart on the prepared baking sheet.
Brush the top of each scone with milk being careful not to drip any excess down the sides.
Bake for 20-25 minutes or until the tops are lightly golden brown and the scones are cooked all the way through. Remove the sheet pan from the oven and allow to cool for 5-10 minutes before drizzling with caramel sauce. Sprinkle lightly with sea salt.