To make the gnocchi, bring the milk to the boil in a saucepan, pour in the semolina flour and whisk until smooth. Season with nutmeg and salt.
Turn the heat down and beat in the butter, Parmesan and egg yolks. Tip into a shallow tray and leave to cool.
Using a 5cm/2in cutter, cut out rounds and arrange in an ovenproof dish. Grate over some more Parmesan and bake for about 20 minutes, or until golden brown.
For the bone marrow, melt the butter in a small pan and add the garlic and shallot. Cook gently for a few minutes until softened.
Remove the marrow from the bone and chop into small pieces, reserving the bone. Mix with the softened shallot and garlic, parsley and breadcrumbs. Put the mixture back into the bone cavity and bake for about 15 minutes, or until golden brown.
Meanwhile, blanch the sweetbreads in boiling water for 5 minutes, then remove the skin and thickly slice. Melt the butter in a frying pan and when foaming, add the sweetbreads. Cook until golden brown on both sides. Add a splash of Madeira to deglaze the pan. Remove the sweetbreads and set aside to rest.
For the salad, mix the parsley, banana shallots, capers, red wine vinegar and olive oil.
Serve the gnocchi with the bone marrow, sweetbreads and salad alongside.