Combine warm milk and yeast in a large bowl; stir to combine. Let sit for 5 minutes.
Add in egg, oil, salt, sugar, stirring with wooden spoon or dough whisk. Slowly stir in 1 cup of flour at a time (3 cups total).
Take dough out of bowl and knead on floured counter until a smooth ball forms.
Place in a warm area covered with a clean tea towel until doubled in size, about one hour.
Prepare filling: using mixer, beat cream cheese, egg yolk, lemon juice, zest and sugar until smooth. Place in fridge for 30 minutes.
Once dough has doubled in size, roll out on a well-floured surface into a 18x24-inch rectangle.
Spread lemon cream cheese mixture on dough, leaving a ½- to 1-inch border.
Using pizza cutter, cut dough into 1-inch strands. Cut each strand carefully in half only ¾ of the way up the strand. Carefully twist each strand – work quickly so the filling stays in place. Bring two ends together to form a ring and pinch firmly.
Place on a parchment paper-lined baking sheet. Cover and let sit in warm area for 30 minutes.
Preheat oven to 350°F.
Bake rolls for 10-15 minutes, or until golden brown.
While rolls are baking mix together the Glaze ingredients. Add more/less lemon juice to achieve desired consistency.
Remove rolls from oven and let cool on wire rack.
Once cooled drizzle glaze on top. Garnish with berries, if desired. Serve immediately.