Line a baking sheet with parchment paper or silicone baking mat like Silpat. Set aside.
Preheat oven to 450 degrees.
In a medium mixing bowl, whisk together sugar, flour and baking powder.
Add butter and cut in with a pastry cutter.
In a small mixing bowl or measuring cup, mix together egg and milk.
Add the wet ingredients to dry ingredients and stir with a wooden spoon just until moistened.
Drop the dough onto prepared sheet by 2 heaping tablespoons, leaving at least 2 inches space between each mound. If you want flatter shortcakes, flour your hands and gently flatten each mound of dough to about ½ inch thick disks.
Bake for 10 to 14 minutes, or until golden brown.
Cool shortcakes on baking sheet for 2 minutes, then transfer onto a wire rack to cool completely.
In a skillet, melt butter. Add apple slices and saute for 5 to 7 minutes or until soft. Add caramel sauce and stir in. Remove from heat.
Serve each shortcake sliced in half, topped with apples and more caramel sauce.