First we will begin making the dough. Heat up milk in a small sauce pan until it begins to simmer. Remove from heat and add sugar and salt and stir. Let it cool down to lukewarm to the touch. While milk is cooling, proof the yeast by adding the warm water and yeast in a small bowl and stirring together. Let it activate by setting it aside for 10 minutes.
Once milk is cool, add to a large bowl, along with 3½ cups of the flour, 2 tablespoons of oil, eggs, and yeast mixture. Stir together with a wooden spoon until combined. The dough will be very thick but still pretty wet and sticky.
Place ¼ cup of flour on the surface of your counter. Place dough on top of it and begin kneading the dough with the flour until all the flour is mixed into the dough. Keep kneading for about 4-5 minutes until the dough is smooth and elastic. If it starts to stick to the counter, add a little more flour. Once you finish kneading, shape into a ball. Lightly grease another large bowl and place the ball of dough into bowl. Cover with a kitchen towel and let it rise for 1 ½ hours, where it will be double the size. I like to place mine in the microwave to keep it away from any cool draft from the A/C.
Prepare 3 large baking sheets by lining with parchment paper. Once dough has risen, punch it down with your fist and remove from the bowl. Lightly dust your counter with flour and place the dough on top. Roll out dough into a large rectangle, 18 inches x 15 inches. Spread butter over the dough in one even layer. Mix cinnamon and sugar together and dust over the butter with a spoon, leaving 1/2 inch of the edges clear.
Starting on the short edge, fold the dough up so the edge meets the center. Fold the other side over the other layers similar to a letter. Seal the edges by pinching together. Your rectangle should now be 15x6 inches. Cut the rectangle into 3 even rectangles that are 5x6 inches. Then, cut 5 even strips from each rectangle. Take one strip at a time and twist them and then connect the ends to make a circle. Pinch the ends together tightly to seal and then place on prepared baking sheet. Repeat with all strips, making sure to give the Danish enough room to rise (about 3 inches on all sides). Cover and let them rise for another 30-45 minutes or until doubled in size. Preheat oven to 400 degrees while the rolls rise.
Once they're done rising, uncover them and reseal any Danish that have come undone. Now it's time to prepare the cream cheese portion of the filling. In a bowl attached to a mixer, add cream cheese, powdered sugar, vanilla, egg yolk, and salt. Mix on low to combine and then increase to medium-low to whip up a little until completely combined.
Using a spoon, scoop about 1 tablespoon of filling into the center of each Danish. Place prepared Danish into the oven to bake for 10-12 minutes or until they've browned on top. You will probably need to do this in batches to prevent crowding the oven. Remove from oven and let them cool for 10 minutes before icing.
Prepare icing by combining sugar and cream together in a microwave safe bowl. It will be pretty thick. Microwave for 10-15 seconds to thin out the mixture and then drizzle over the baked Danish.