Dissolve yeast in warm water.
Stir in milk, sugar, butter, salt, egg, and 2 cups flour. Using a stand mixer and paddle attachment, mix until smooth.
Switch the attachment to the dough hook and add about 1 ½ cups more flour. Knead for about 5 minutes, adding up to a ½ cup more flour if the dough is sticky.
Place dough in a greased bowl, then flip it over. Cover and let rise in a warm place till doubled in size, about 1½ hours. Make filling while the dough rises.
To make the filling, beat all ingredients till creamy. Set aside.
Punch down dough. Remove the dough and roll it into an 18 x 12-inch rectangle on a lightly floured surface. Spread with half the orange filling.
Roll up the dough beginning at the wider side. Pinch to seal the seam. Using dental floss (or knife) cut the roll into 1 ½-inch slices (12 rolls).
Place into a greased 9 x 13-inch baking pan. Cover and let rise till doubled, about 40 minutes.
Preheat oven to 375º.
Bake till golden, about 20-25 minutes. Frost with remaining filling while warm.
