DISSOLVE cornstarch in water in medium, heavy-duty saucepan. Add egg yolks; mix well. Add evaporated milk, granulated sugar, salt, lemon peel and cinnamon stick. Cook over medium heat, stirring constantly with wooden spoon, until mixture just comes to a boil. Remove from heat. Strain into small bowl. Discard lemon peel and cinnamon. Stir in sherry. Cool to room temperature, stirring occasionally.
PREHEAT oven to 375º F. Grease 15 x 10-inch jelly-roll pan; line with wax paper. Grease and flour paper. Sprinkle a thin, cotton kitchen towel with 1/2 cup powdered sugar.
COMBINE flour and salt in small bowl. Beat eggs in medium mixer bowl until foamy. Gradually add granulated sugar and the lemon rind. Beat for 4 minutes or until very light and fluffy. Stir in flour and salt. Lightly fold in butter. Quickly pour batter into prepared pan; spread evenly.
BAKE for 8 to 9 minutes or until top of cake springs back when touched. Immediately loosen and turn cake onto prepared towel. Carefully peel off paper. Roll up cake and towel together, starting with narrow end. Cool completely on wire rack. (Otherwise, the cake will be difficult to roll.)
TO FILL CAKE:
UNROLL cake, remove towel. Spread filling over cake. Top with pine nuts. Reroll cake. Wrap in plastic wrap and refrigerate for at least one hour. Sprinkle with 2 tablespoons powdered sugar and cinnamon before serving.