Nicola messily devours the filling from any creamy pastry (7)

I believe the answer is:

cannoli

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'any creamy pastry' is the definition.
I don't know anything about this answer so I can't judge whether it can be defined by this definition.

'nicola messily devours the filling from' is the wordplay.
'messily' indicates anagramming the letters.
'devours' indicates putting letters inside (inserted letters are devoured).
'the filling from' becomes 'n' (I can't explain this - if you can you should believe this answer much more).
'nicola' is an anagram of 'canoli'.
'canoli' placed around 'n' is 'CANNOLI'.

Can you help me to learn more?

(Another definition for cannoli that I've seen is " Dessert".)

I've seen this clue in The Times.

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