Combine sugar, milk, and butter in a medium saucepan. Slowly bring to a boil, stirring until sugar dissolves. Stir in dates and pecans. Cover and cook over medium heat 2 to 3 minutes to wash down sugar crystals from sides of pan. Uncover and continue to cook, without stirring, until mixture reaches soft ball stage (240°). Cool to lukewarm (110°). Add vanilla. Beat at medium speed of an electric mixer until mixture is thickened and cool.
Sift powdered sugar on a linen towel. Spoon date mixture onto towel. Divide into 2 portions; shape each portion into 2 rolls, 1 1/2 inches in diameter. Wrap rolls in towel; let stand until set. Remove towel, and cut each roll into 1/2-inch-thick slices.