Preheat your oven to 400°F. Line a baking sheet with parchment paper.
In a large mixing bowl, whisk together the flour, baking powder, salt, and sugar.
Add the cold, cubed butter to the flour mixture. Use a pastry cutter or your fingers to work the butter into the flour until the mixture resembles coarse crumbs.
Gently fold in the chopped rhubarb.
In a separate bowl, mix the heavy cream and vanilla extract. Pour this mixture into the flour and rhubarb mixture. Stir until just combined; do not overmix.
Turn the dough out onto a floured surface and gently knead it a few times until it comes together. Pat the dough into a 1-inch thick round.
Cut out biscuits using a floured biscuit cutter or a glass. Place them on the prepared baking sheet. Brush the tops with the beaten egg for a golden finish.
Bake for 15-18 minutes or until the biscuits are golden brown. Let them cool slightly before serving.