Combine milk and vanilla bean in heavy-bottomed medium saucepan and bring just to boil over medium heat.
Remove mixture from heat and let steep for 10 to 15 minutes.
Beat yolks to blend in large bowl of electric mixer.
Gradually add sugar, beating until mixture is pale yellow and forms a ribbon when beaters are lifted from bowl.
Reheat milk just to simmer.
Gradually pour hot milk into yolk mixture in very thin stream, whisking constantly; leave vanilla bean in pan.
Pour mixture back into pan and whisk again.
Place over low heat and cook, stirring constantly over entire bottom of pan with wooden spoon, until candy thermometer registers 170°F, sauce is thick enough to coat back of spoon and finger leaves path on spoon when drawn across, about 10 minutes; do not boil or custard sauce will curdle.
Immediately pour sauce into bowl.
Remove vanilla bean.
Stir sauce to cool, about 30 seconds.