Add warm water to a large mixing bowl. Add yeast and sugar, stir to mix. Set aside for 5 to 10 minutes or until yeast starts to bubble.
Add egg and melted butter to yeast mixture. Using a wooden spoon or dough whisk, stir to combine. Add 2 cups of flour and kosher salt. Mix well.
Add more flour as needed, 1/4 cup at a time until dough forms a ball and pulls away from sides of the bowl.
Turn dough onto a floured surface and knead for 3-5 minutes until dough is no longer sticky. (NOTE: If using a stand mixer: follow instructions above, mix with paddle attachment in step 2. Switch to dough hook attachment in step 3.) Place dough in a greased bowl and cover with clean tea towel or plastic wrap. Set in a warm place and allow dough to rise about an hour, or until doubled in size.
Prepare filling: Add cream cheese, egg, sugar, vanilla and flour to clean bowl; mix until smooth. Add coconut and mix thoroughly.
Spray two 10-inch pie plates with non-stick cooking spray. Set aside.
Punch down dough and turn out onto a clean counter or mat. Roll into about 12x14-inch rectangle. Spread filling evenly over dough. From the long side, carefully roll as tightly as possible. Pinching edges to seal. Using a sharp serrated knife (or dental floss), slice into 1 to 1 1/2 inch slices.
Carefully place rolls into prepared pie plates. Cover; set aside to rise 30 minutes to 1 hour, until doubled in size.
Preheat oven to 375°F.
Bake rolls for 25 minutes or until golden brown and center rolls are cooked through.
Serve immediately or at room temperature.