In a mixing bowl, combine warm milk, active dry yeast, and granulated sugar. Let it sit until foamy, about 5-10 minutes.

Mix in the unsalted butter, large egg, salt, and all-purpose flour, kneading until smooth—about 5-7 minutes. Cover and let rise in a warm spot for 1 hour or until doubled.

In a separate bowl, beat the softened cream cheese with powdered sugar and vanilla extract until silky smooth. Set aside while the dough rises.

In a small bowl, combine granulated sugar and ground cinnamon. Melt butter in another dish for brushing later.

On a floured surface, roll the dough into a rectangle, approximately 1/4 inch thick. Brush the surface with melted butter, spread the cream cheese filling, and evenly sprinkle the cinnamon sugar mixture on top.

Starting from the long side, tightly roll the dough into a log shape. Slice into 1 to 1.5-inch thick rolls.

Preheat your oven to 350°F (175°C). Arrange the rolls cut-side up on a lined baking sheet. Bake for 18-22 minutes or until golden brown.

As soon as they come out, brush the warm rolls with melted butter, sprinkle with extra cinnamon sugar, and drizzle with a glaze made from powdered sugar, milk, and vanilla if desired.