Place in a saucepan the peeled and chopped apples, lemon juice and agave syrup or coconut sugar (or any other sweetener you like). Cook at medium heat over 5 minutes.
Add the oat milk, vanilla bean and cinnamon stick. Cook over high heat until the mixture starts to boil, then cook over medium heat for 5 minutes.
Add the agar powder and cook for another 5 minutes.
When the natillas are ready, discard the cinnamon stick and the vanilla bean, blend and pour the mixture into 4 bowls. Let the natillas cool down at room temperature or in the fridge. If the consistency of the natillas is not smooth, you can blend again before serving.