Yeah this custard is thicker than the regular pudding, indeed to fill pastries. In Holland we have a "real" name referring to it (banketbakkersroom), instead of just the "common name" custard, but naming it custard does it haha. Oh really? I have never seen a pale egg yolk!
PS: Marrow is indeed also inside a bone, that's also the same as in Dutch (merg). I see marrow used for the inside of a vanilla bean/pod on a lot of websites, that's why I use it :)