Combine flour, sugar, yeast and salt. Add milk and egg, then knead in the butter. Knead for 8–10 minutes until smooth. Cover and rise for 1–1½ hours.
Mix the cinnamon filling ingredients until smooth.
Melt the butter for the apple filling. Add apples, brown sugar, cinnamon, nutmeg and salt. Cook for 5–8 minutes. Add vanilla and lemon juice.
Mix cornstarch with water, add to the apples and cook for 1–2 minutes until thick. Cool completely.
Roll dough into a 45 × 35 cm rectangle. Spread cinnamon filling evenly, roll tightly and cut into 12 rolls.
Arrange in a greased 23 × 33 cm baking dish. Cover and rise for 30–45 minutes.
Bake at 175°C conventional or 165°C fan for 25–35 minutes. Cool for 10–15 minutes.
Beat cream cheese and butter until smooth. Add powdered sugar, milk and vanilla, then beat until creamy.
Melt sugar in a saucepan until amber. Whisk in butter, slowly add warm cream and simmer for 1–2 minutes. Remove from heat and stir in vanilla.
Spread cream cheese glaze over slightly warm rolls. Add cooled apple filling and drizzle with caramel sauce.
