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Heat milk, oil and egg to lukewarm (38–43°C)
Add yeast, whisk and rest 10 minutes
Add flour, sugar, salt and mix to shaggy dough
Add cold butter and mix 8–10 minutes until smooth and elastic
Cover and rest 1 hour
Chill 4–6 hours or overnight
Mix butter, brown sugar, cinnamon and salt until paste forms for filling
Brown butter until nutty for icing
Mix browned butter with cream cheese
Add powdered sugar, milk, vanilla and salt to icing mixture
Whip icing and chill
Roll dough ½ inch thick
Spread filling on dough
Roll up dough
Cut into 9–10 pieces
Pinch seams
Place on parchment squares, spaced 2–3 inches apart
Proof uncovered for 2 hours
Heat oil to 170°C
Fry each donut 3 minutes 30 seconds per side until deep golden with pale ring
Drain for 30 seconds and move to plate
Keep oil at 165–170°C
Glaze warm donuts