Bring the milk to the boil, then remove from the heat and add the butter. Leave to cool until it reaches hand temperature.
Mix the flour, yeast, golden caster sugar and salt in a big bowl. Mix the milk and the beaten egg into the dry ingredients with a wooden spoon.
Tip onto a lightly flour-dusted surface and knead for 10 minutes (or use the dough hook attachment on your mixer).
Lightly grease the mixing bowl with some oil. Put the dough back in, cover the bowl with a clean tea towel and leave to rise until doubled in size – up to 2 hours depending on how warm your kitchen is.
Prepare the filling by combining all of the ingredients in a small mixing bowl.
Knock back the dough by gently kneading just 5 times to get the air out. Roll into a 20 x 45cm rectangle and spread your cinnamon filling over the top. Roll up tightly from one of the long side like a swiss roll, then cut into 16 even pinwheels slices. Grease a tin with more butter. Arrange the slices cut-sides up.
Preheat your oven to 180C (160C fan, gas mark 4).
Cover the dough again with a clean tea towel and leave to prove until nearly doubled in size.
Bake for 35 minutes until golden and the dough cooked through. Leave the rolls to cool for 20 minutes in the tin, then lift onto a wire rack to cool completely.
Prepare the icing by adding the vanilla extract to the golden icing sugar and mixing. Add water gradually until it reaches a thick, pouring consistency, similar to syrup. Drizzle over the top of the rolls and serve.