Combine the warm milk (no warmer than 110°), 1 tbsp of the sugar, and yeast in the bowl of a stand mixer. Let sit for 5 minutes or so until frothy. You can skip this step and go right to mixing all the liquid ingredients together, but I like to activate my yeast even when it’s rapid-rise yeast.
Add the melted butter, egg, and egg yolks to the milk mixture and whisk together.
Add 3 ½ cups of flour, the remaining sugar, and salt to the wet ingredients and mix using a dough hook on low for about 2 minutes. If the dough is still very sticky, add the remaining ½ cup of flour a couple of tablespoons at a time until the dough is soft but not sticky. Use the dough hook to knead on medium-low for 8-10 minutes, until the dough pulls away from the sides and begins to get smooth.
Transfer the dough to an oiled bowl and cover. Let sit in a warm place for an hour or so, until it has doubled in size. While the dough is rising prepare the cream cheese filling.
Cream Cheese Filling
In a bowl beat together the cream cheese, sugar, and flour. Once smooth, add the vanilla. Cover and set aside until needed.
Assembly and Baking
Divide the dough into 16 equal portions and form it into balls. Place on parchment-lined baking sheets and cover with a clean kitchen towel. Let sit in a warm place for about an hour and a half, until doubled in size again.
Once the dough is done proofing, preheat the oven to 350°. Using the bottom of a large cookie scoop or just your fingers, make a large indent in the center of each ball of dough. Add 1 tbsp of cream cheese filling and 1 scant tablespoon of the jam of your choice in the center of the cream cheese. You can alternatively use about 1 ½ tablespoons of just cream cheese filling or just jam instead of both.
Brush the dough with the egg wash and bake for about 18-20 minutes. Do not let them get too golden, they should just barely start getting color on them when they are ready.