Warm the whole milk to exactly 110°F (43°C), then stir in the active dry yeast and a pinch of sugar. Let sit for 5-10 minutes until foamy.

In a stand mixer, combine flour, remaining sugar, salt, melted dough butter, the egg, and the yeast mixture. Knead on medium speed for 5-7 minutes until smooth. Let rise for 1 hour until doubled.

Whisk the softened cream cheese, powdered sugar, and vanilla extract until completely smooth. Transfer to a piping bag.

Divide the dough into 12 balls. Flatten each into a 3-inch disc, pipe a tablespoon of filling into the center, and pinch the edges tightly to seal. Place seam-side down on a dark metal baking sheet lined with unbleached brown parchment paper.

Let the rolls rise for 20 minutes. Preheat oven to 350°F (175°C). Bake for 18-22 minutes until you have a golden-brown baked pastry dough. Let cool for 5 minutes.

Brush warm rolls generously with melted coating butter. Roll immediately in the mixture of granulated sugar and cinnamon to create a heavy crystallized cinnamon-sugar coating. Scatter extra crystals on the parchment for presentation.