Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.
Remove apple pieces from pie filling and finely chop; set aside.
Stir remaining slurry mixture with the walnuts until coated. Transfer to parchment-lined baking sheet. Bake for about 10 minutes or until golden brown. Cool completely. Set aside for topping.
Line a 5 x 9-inch (2 L) loaf pan with parchment paper so it overhangs the edges; set aside. Stir chopped apples with sweetened condensed milk, cinnamon, vanilla and nutmeg.
Melt chocolate in a heatproof bowl set over saucepan of barely simmering water, stirring occasionally. Remove from heat; fold in apple mixture until just combined.
Scrape into prepared pan; smooth top. Sprinkle with reserved walnuts. Chill for 4 hours or until set.
Use the parchment paper to lift the fudge onto a cutting board. Peel away the parchment. Cut fudge into 15 squares. Store, loosely covered, at room temperature for up to 1 week. Makes 15 servings.