Warm the milk to lukewarm, then stir in the yeast and set aside.
Add the yeast mixture to a stand mixer along with the butter, sugar, salt, egg, and flour. Knead with the dough hook for 10–15 minutes until you get a smooth, non-sticky dough.
Test the dough by stretching a small piece between your fingers; it should be thin enough to see light through without tearing. If it tears, continue kneading.
Transfer the dough to a lightly oiled bowl, cover with cling film, and leave to proof for 60-90 minutes until nearly doubled. Use this time to prepare the cinnamon butter.
Once proofed, knock back the dough to release the air. Divide into small balls of roughly 25 grams each, or go by eye.
Dip each ball into the cinnamon butter and layer them into a round pan until all the dough is used up.
Pour any remaining cinnamon butter over the top, cover, and let rise for another 45 minutes.
Bake at 170°C for 30-40 minutes, or until cooked through.
Invert onto a plate to release, then drizzle with the cream cheese glaze while still warm. Best served hot or reheated before eating.