1Pre-heat oven to 500 degrees F.
To make the sauce, combine "sauce" ingredients in a small saucepan over medium heat; bring to boil, reduce to low simmer 5 minutes, cook and stir until sugar dissolves. Remove from heat.
2To make the dough, combine ingredients except the water and use a pastry blender to cut in shortening. Add 2 tablespoons of water and stir to combine. Add more water, 1 teaspoon at a time, until dough is sticking together but not sticky. Dump on a floured surface and knead, work into a ball. Divide and form into 6 balls. Wrap tightly in plastic wrap and refrigerate until ready to roll out. Roll each dough ball into a large square – large enough to wrap around the apple.
3Set an apple in the center of each square. Mix together sugar and cinnamon; sprinkle over apples. Bring sides of dough together to cover apples; press to seal. Place seam-side down in a greased 13"x9" baking pan. Pour caramel sauce over dumplings.
4Bake at 500 degrees for 5 to 7 minutes. Reduce heat to 350 degrees; bake for an additional 35 to 40 minutes, until golden and apples are tender. Serve with a scoop of ice cream and drizzled with sauce.