Start with making the apple pie filling. This is something that can be prepped a day or two ahead if needed. Peel the apples if desired. Finely dice the apples (discarding the core and seeds).
Add the apples to a skillet along with the remaining ingredients for the apples. Cook until the apples are tender and the liquid is thickened. Leave to cool completely.
Start making the dough. Add the milk, half the sugar, and the yeast to a bowl and allow it to proof for five minutes.
While the yeast is proofing, add the flour, remaining sugar, baking powder, and salt together in a stand mixer and mix until combined.
Add the milk mixture to the flour mixture and mix until it comes together. Add the egg and butter and mix until it forms a shaggy dough. You may be tempted to add more flour, but resist the urge as much as possible.
Use a dough hook to knead the dough for about 8 minutes, or until the dough is smooth and elastic.
Lightly grease a large bowl and shape the dough into a ball, then place in the bowl. Grease a sheet of plastic wrap on one side, then place the wrap on the bowl, grease side down. Allow the dough to rise in a warm, dry area for about an hour, or until doubled in size.
While the dough is rising, make the cinnamon filling. Melt the butter, and stir together the remaining ingredients into the butter. Set aside.
Once the dough is double its size, gently deflate the dough. Place the dough on a lightly floured smooth surface and roll out into a large triangle about 16 inches long and 12- 14 inches wide.
Spread the cinnamon filling over the dough, leaving a small border all around. Add the apple filling over the cinnamon filling.
Tightly roll the dough into a log along the long side so you have a roll that is 16 inches long.
Cut the dough into 9 equal pieces (I find using string or unflavored floss creates the best cuts). Place the rolls into your pan, cut sides down. Loosely cover the dough to rise again as the oven heats.
Preheat the oven to 350°F.
As soon as the oven reaches the right temperature, add the rolls to the oven on the middle rack.
Bake for about 25-30 minutes. If you find the dough is getting too brown, loosely cover with aluminum foil as it bakes.
As the rolls are baking, make the glaze by adding the ingredients together.
Remove the rolls from the oven and allow to cool slightly before adding the glaze. Serve immediately.