Add rhubarb, sugar, and water to a non-reactive pot.
Bring to a boil while stirring, then reduce the heat slightly and boil gently until the rhubarb softens and partly breaks down, about 5 minutes after it reaches a full boil.
Remove from heat and stir in vanilla.
Let the compote cool completely, then chill. This may be prepared up to 2 days ahead.
In a chilled bowl, whip the cold cream and confectioner's sugar to soft peaks.
Add sour cream and whip briefly until smooth and combined.
Fold the chilled rhubarb compote into the whipped cream with only a few gentle turns so it stays swirled.
Spoon into small glasses and serve immediately or chill until needed.
Notes
With 1/3 cup sugar, the compote is on the tart side. Taste and add more sugar only if needed before folding into the cream.