Combine the milk with all the other ingredients up to and including the cornflour, bring to the boil over a medium heat, stirring constantly. Continue to simmer over a low heat for approx. 2 mins., stirring constantly until the mixture thickens. Remove the pan from the heat, continue to stir for approx. 2 mins. Stir in the butter, yoghurt and syrup. Cover the custard and chill for approx. 2 hrs., stir until smooth. Transfer the custard to a piping bag with a smooth nozzle (approx. 12 mm in diameter), return to the fridge for approx. 1 hr.
Prick the pastry dough several times with a fork, sprinkle with the sugar and oats. Halve the dough lengthwise, then cut each half crosswise into approx. 9 strips. Slide onto a tray together with the baking paper, place a second sheet of baking paper on top of the dough and weigh down with a second tray.
Approx. 20 mins. in the lower half of an oven preheated to 220°C. Remove from the oven, leave to cool on a rack.
Mix the rhubarb, syrup and water in a pan, bring to the boil. Cover and simmer for approx. 2 mins., leave to cool. Drain the rhubarb, retaining 1 tbsp of the liquid.
Mix the icing sugar with the rhubarb liquid, spread the icing over 6 pieces of puff pastry. Spread the custard and rhubarb over 12 pieces of puff pastry, place two layers on top of each other. Top with a layer of iced puff pastry.