Add ketchup, water, vinegar, sugar, pepper, mustard, and Worcestershire to a heavy bottom pot and bring to a simmer over medium heat. Simmer for 5 minutes. Reduce the heat to low and add the Caramel Creams®. Keep stirring until combined, making sure the sauce does not come back to a simmer. Once combined, take off the heat, add the vanilla extract, and stir until combined.