Sauté the rhubarb. Toss the rhubarb with the vanilla sugar in a large bowl. Heat a large frying pan over medium-high heat with the water and butter; when the butter foams, add the rhubarb. Cook 2 minutes, turn gently, and cook 3–5 minutes more until just tender but holding its shape. Stir in the pickled ginger, transfer to a bowl, and cool. Preheat the oven to 375°F.
Make the crumble topping. Rub the cold butter cubes into the flour with your fingertips until pea-sized crumbs form. Stir in the demerara sugar, nutmeg, oats, and crushed hazelnuts.
Assemble and bake. Spoon the cooled rhubarb and juices into a 2-quart baking dish. Scatter the topping evenly over (do not press down). Bake 20–25 minutes until deep golden brown and bubbling at the edges. Rest 10 minutes.
Serve with lemon mascarpone. Whisk the lemon zest into the mascarpone until smooth. Serve the crumble warm with a generous dollop of lemon mascarpone.