Wash and chop the parsley. Clean and wash the peppers and spring onions. Dice paprika finely, cut spring onions into rings. Mix with parsley, paprika and cream cheese. Season with salt and pepper.
Roll out the puff pastry and cut into 8 squares (each approx. 10 x 10 cm). Place 1-2 teaspoons of cream cheese mixture in the middle of each square and fold each square into a triangle, press the edges together with a fork.
Place on a baking tray lined with baking paper. Whisk the egg yolk and 2 tbsp. milk. Coat pockets with it and bake in a hot oven (electric cooker: 200 °C/circulating air: 175 °C/gas: see manufacturer) for 13-15 minutes.
Clean, wash and pluck the radicchio and lamb's lettuce. Mix mayonnaise, yoghurt and 2 tablespoons of milk. Season with Worcester sauce, salt, pepper and 1 pinch of sugar. Mix salad and sauce. Serve with the dumplings.