Preheat the oven to 400 degrees F and line a baking sheet with parchment paper.
In a large mixing bowl, whisk together the flour, sugar, baking powder, and salt until evenly combined.
Add the cold cubed butter into the flour mixture. Use a pastry cutter or fingertips to work the butter into the flour until the mixture looks crumbly with some pea-sized butter pieces remaining.
Stir the diced rhubarb gently into the flour mixture so the fruit spreads evenly throughout the dough.
In a separate bowl, whisk together the heavy cream, egg, and vanilla extract until smooth.
Pour the wet ingredients into the dry ingredients. Stir gently with a spoon or spatula until a shaggy dough forms. Do not overmix.
Transfer the dough onto a lightly floured surface. Gently press the dough together and shape it into a round disc about 1 inch thick.
Cut the dough into 8 wedges using a sharp knife or bench scraper.
Place the wedges onto the prepared baking sheet and sprinkle the tops generously with coarse sugar.
Bake for 18 to 22 minutes or until the tops are lightly golden brown and the centers are baked through.
Let the scones cool for about 10 minutes before serving warm