In a mixing bowl, combine lukewarm milk, egg, vanilla extract, and melted butter. In a separate bowl, whisk together flour, salt, sugar, and instant yeast. Create a well in the dry ingredients and pour in the wet mixture, stirring until a sticky dough forms. Knead the dough on a floured surface for about 5-10 minutes until smooth. Cover and let rise in a warm place for about 1 hour or until doubled in size.

While the dough rises, prepare the filling. Peel, core, and dice the apples. In a skillet, melt butter over medium heat, add the diced apples, brown sugar, cinnamon, cornstarch, a pinch of salt, and water. Cook for about 10-15 minutes until the apples soften and the filling thickens. Remove from heat and let cool.

Once the dough has doubled in size, turn it out onto a floured surface. Roll it into a rectangle about 16x20 inches. Spread the cooled apple filling evenly over the surface, leaving a small border. Starting from one long side, roll the dough tightly into a log shape. Slice the log into 12 equal portions and place them cut-side up on a baking sheet. Cover and let them rise for another 30 minutes.

Preheat oven to 180°C (350°F). Once the rolls have risen, bake for 20-30 minutes until light golden brown and filling is bubbling. Avoid over-baking; the rolls should feel soft and spring back when lightly touched.

After removing from the oven, dust with powdered sugar or drizzle with a vanilla glaze. Let cool slightly before serving.