CREAM: Add the butter and sugar to the bowl of a stand mixer fitted with the paddle attachment. Beat on high speed until creamy and whipped, about 2-3 minutes.
ADD: Reduce the speed of the mixer to medium low, and add the egg yolk. Let it mix in before adding the vanilla extract. Once mixed, stop the mixer, scrape down the sides and bottom of bowl.
ADD FLOUR: Turn the mixer off, add the flour. Turn the mixer on low and slowly allow the flour to mix in and forms a soft dough. It will be crumbly at first, but it will come together.
SHAPE: Line a baking sheet with parchment paper or a silicone mat. Using 1 tablespoon of dough per ball, shape into round balls. Place 1-inch apart on the prepared baking sheet. Using a small melon baller or your thumb, gently make an indent in the dough.
CHILL THE DOUGH: Place the baking tray in the freezer for 30-45 minutes or in a refrigerator for at least 1½ hours.
PREHEAT: Position a rack in the center of the oven and preheat the oven to 350ºF.
FILL: When the oven has preheated, remove the dough from the fridge or freezer. Using the same melon baller, fill each thumbprint with ¼ - ½ teaspoon of jam.
BAKE: for 14-18 minutes or until very lightly browned around the edges. Do not over-bake. Allow cookies to cool for 10 minutes on the baking sheet before moving to a wire rack. Cool for 30 minutes before glazing.
GLAZE (optional): In a small bowl, combine the ingredients for the glaze. Add more milk to get the right consistency if it doesn't drizzle back in the bowl. Drizzle over cookies with a spoon or piping bag. Glaze will need a few minutes to set.