In a mixing bowl, combine warm milk, yeast, and granulated sugar. Let it sit for about 5 minutes until frothy.

Add melted butter, salt, and vanilla extract to the yeast mixture. Gradually add 3 1/2 cups of flour, mixing until a soft dough forms.

Knead the dough on a lightly floured surface for about 5-7 minutes until smooth and elastic. If the dough is too sticky, incorporate more flour as needed.

Place the dough in a greased bowl, cover with a kitchen towel, and let it rise in a warm place for about 1 hour, or until it doubles in size.

In a separate bowl, mix the softened cream cheese, powdered sugar, and 1/2 teaspoon vanilla extract until smooth and creamy.

Once the dough has risen, punch it down and roll it out on a floured surface into a rectangle about 1/4 inch thick.

Spread the cream cheese mixture evenly over the dough, leaving a small border around the edges.

Drop spoonfuls of blueberry pie filling or fresh blueberries over the cream cheese layer.

Starting from one long side, carefully roll the dough tightly into a log. Pinch the edges to seal.

Cut the log into 12 equal slices and place them in a greased baking dish. Cover and let them rise for another 30 minutes.

Preheat your oven to 350°F (175°C). Brush the tops of the rolls with beaten egg and bake for 25-30 minutes until golden brown.

Once baked, brush the tops with melted butter and allow to cool slightly before serving.