Preheat oven to 375°F (190°C). Grease a baking dish.
In a mixing bowl, combine flour, baking powder, and salt. Cut in shortening until mixture resembles coarse crumbs. Stir in milk just until moistened.
Roll dough out on a floured surface. Cut into 4 squares. Place an apple on each square. Mix sugar and cinnamon, and sprinkle over apples. Fold dough over apples and seal edges.
Place dumplings in the prepared baking dish.
In a saucepan, combine sauce ingredients. Bring to a boil, then pour over dumplings.
Bake for 45 minutes, or until apples are tender and pastry is golden brown.
Notes:
Best served warm with a scoop of vanilla ice cream.