Combine milk and butter in a microwave-safe bowl. Heat on high for 1 minute, then remove and stir. Continue heating in 20 second intervals, pausing after each to stir, until the butter is melted and the milk is warm to the touch but not hot. If needed, let the milk mixture sit for a few minutes until it is warm but not hot.
In the bowl of a stand mixer fitted with the dough hook attachment, add yeast and lukewarm milk mixture and stir by hand to combine. Add the flour mixture and egg, and beat on medium-low speed until combined. If the dough is sticking to the sides of the bowl, add the remaining flour, 1/4 cup at a time, until the dough begins to form a ball and pulls away from the sides of the bowl. Continue beating for 5 minutes on medium-low speed. Remove the dough hook and cover the dough with a damp towel and let rest for 10 minutes.
When the dough is ready, turn it out onto a floured work surface. Then use a floured rolling pin to roll the dough out into a large rectangle, about 14 x 9 inches in size. (If you want all edges to be even, you can use a pizza slicer to cut the dough into a perfect rectangle.) Use a knife or spoon to spread the Nutella evenly over the top of the surface, leaving a 1/4-inch border at the bottom of the 14-inch edge (so that the Nutella doesn't ooze out). Sprinkle the cinnamon evenly on top of the Nutella. (If it's too thick, pop the Nutella in the microwave for a few seconds to make it easier to spread.)
Beginning at the top 14-inch edge (the edge with the Nutella spread clear to the border), tightly roll up the dough. Then give the final seam a little pinch so that it seals. Use a piece of dental floss*** to "cut" off the two ends of the roll (an inch on each end - discard that dough) so that they are even. Then cut the remaining dough into 11 or 12 equal pieces. (11 rolls seem to fit in a pie plate, while 12 rolls fit in a rectangular pan.)
Place each of the cut cinnamon rolls into a greased pie plate or 9 x 13-inch baking dish. Then cover again with a damp towel, and leave the dish in a warm place to rise for 25 minutes. (I typically turn on my oven to 200 degrees, then turn it off and place the dish in the oven with the door cracked open. It's a great option if you don't have a vent or a warm window nearby.)
When the rolls have risen, uncover the dish. Then place on the center rack of the oven and bake at 350 degrees F for 15-20 minutes, or until the rolls are golden and cooked through. Remove and let cool on a wire rack for at least 5 minutes. Drizzle with your desired icing and Nutella and serve.
Either in the bowl of an electric stand mixer, or a mixing bowl, whisk softened butter and cream cheese together until combined. Then whisk in powdered sugar until combined. If the icing is too thick, add a tablespoon or two of milk to thin.