Pre-heat oven to 350°F Spray baking dish with non-stick spray.
Bring the milk to a boil and add roe. Simmer for 5 minutes. Drain, reserving the milk. Finely chop the roe and reserve.
Open the fish out on a board, inner side down and press lightly down the middle to loosen the backbone. The backbone should be pulled away gently. Discard. Turn herrings over.
Combine the breadcrumbs, onion and the reserved roe. Spread mixture on the opened herrings. Fold together and lay, folded, in baking dish.
Cover and bake for 20 minutes until tender.
While the herrings bake, combine butter, flour and reserved milk in a saucepan. Whisk together until smooth. Heat, whisking constantly, over medium heat, until sauce thickens and boils. Reduce heat and simmer for 1-2 minutes, making sure sauce does not burn.
Stir in the mustard and vinegar and serve alongside the herrings.
If English mustard is unavailable, use any mustard with a definite "bite" to offset the oiliness of the flesh.