In a stand mixer bowl, add sugar, cinnamon and orange zest; stir to combine.
Add flour, yeast, butter, milk and salt. Using dough hook attachment, mix until dough forms then knead for 5 minutes.
Oil a clean bowl, turn dough in the bottom of the bowl then flip over so all sides are oiled. Cover with a towel and let it rise for an hour.
Make the filling: Start with the cream cheese in the clean and dry bowl of a stand mixer fitted with paddle or whisk attachment and mix on medium to whip the cream cheese so it’s smooth and lump-free. Add sugar, orange zest, butter, almond extract, vanilla extract and lemon juice. Mix on medium until ingredients are evenly incorporated.
Roll risen dough into a rectangle, approximately 11x17-inches. Use fingers to make dough edges straight and corners squared.
Transfer to a sheet pan lined with parchment paper or silicone mat. Visually, divide dough in thirds lengthwise and cut 1-inch strips crosswise down the length of the outer thirds.
Cut off the 4 corner flaps. Spread filling in the center third of dough. Fold the cut strips over the filling at a diagonal, alternating side to side. Cover and let it rest for half hour.
Preheat oven to 350°.
Brush egg white over risen dough. Bake for 35-40 minutes, until crust is light brown. Let cool on pan for half an hour.
Make the glaze: In a bowl, combine powdered sugar, vanilla, lemon juice and milk. Add more/less milk to achieve desired consistency.
Drizzle over the cooled bread. Top with sliced almonds (optional).