Combine the egg, milk, vanillas, and butter in the bowl of a mixer.
In a bowl, combine the flour, sugar, salt and yeast.
In the mixer, with paddle attached, add 1/2 of the flour mixture. Mix on low until incorporated. Add the other half of the flour and mix briefly.
Replace the paddle with the dough hook. Mix on low for a minute or two, then at a little faster until dough passes windowpane test and pulls away from the sides of the bowl.
Place dough in a greased bowl and turn to coat the dough. Cover and allow to rise until doubled in bulk.
Make the cream cheese filling as dough rises.
Preheat oven to 350 F.
Roll the dough to about 10" x 15". Spread the cream cheese filling over the middle third of the dough, lengthwise. Slice the right and left thirds every inch into strips. The picture is my first attempt at this. I'd like to try opposite angles on opposing sides. Also, don't cut all the way to the dough. You need sides to the braid to hold the filling in. The filling can easily run if cut like in picture.
As you can see, my cuts are too close to the filling and it's ready to run out. Also, my braid isn't too pretty, thus my suggestion to try opposing angles.
Cover and allow to rise until puffed, around 45 minutes.
Brush with egg wash and sprinkle vanilla sugar over the top.
While braid bakes, make the glaze.
Bake at 350 F or until temperature reaches 190 F in the middle.
Yep!. Didn't turn out too pretty, but tasted great!.
Pour glaze over the braid while it's still hot.
Can be served warm, but I like it once cooled.