In a small saucepan over medium low heat add the milk and butter. Stir until the butter has melted and remove from heat. Let stand until luke warm temperature.
In a large mixing bowl whisk together 2¼ cups flour, yeast, sugar, and salt. Add to the stand mixer with dough hook attached. (You can also make this by hand, just knead until smooth once all of the ingredients are added.) Add the egg and water and mix until just starting to combine. Slowly add in the milk mixture and 1 cup of flour until the dough starts to form and become smooth. Let the dough rest for 10 minutes.
On a lightly floured surface, roll the dough into a large 9×15 square. About ¼-1/2 inch thick.
To make the filling:
In a small bowl combine the cinnamon, nutmeg and brown sugar for the filling. Spread the softened butter onto the dough keeping it about a ½ inch away from the edge. Sprinkle the cinnamon and brown sugar on top of the softened butter. Sprinkle with chopped apples.
Roll up the 15 inch side into a log and pinch the seams. Cut into 9-12 slices depending on how thick you want your cinnamon rolls. Place in a greased 9×13 inch pan or 9 inch pie pan. and cover with a damp cloth and let rise for 30 minutes.
Preheat oven to 375 degrees. Bake for 30 minutes or until just golden brown on the tops.
To make the caramel glaze:
In a medium saucepan, melt the butter and brown sugar until sugar dissolves. Add the sweetened condensed milk and bring to a boil over medium high heat for about 2-3 minutes. Pour over warm cinnamon rolls.