In stand mixer bowl, add 1 cup flour, yeast, sugar and salt; mix well. In saucepan or microwave-safe dish, heat milk, water and butter to 120-130°F (butter does not need to melt). Add to flour mixture. Using a paddle attachment, beat on medium speed for 3 minutes.
Switch to dough hook attachment. Gradually stir in enough remaining flour to make a firm dough. Knead until smooth and elastic, about 5 minutes.(NOTE: For hand mixing: following above steps, mix ingredients in large mixing bowl using a wooden spoon or dough whisk. Knead on floured surface until smooth and elastic.) Place dough in lightly oiled bowl and turn to grease top. Cover; let rise until indentation remains after poking dough with finger down to second knuckle, about 1 hour.
Turn dough onto lightly floured surface; punch down to remove air bubbles. Divide dough into 2equal parts. Let rest 10 minutes.
Prepare filling: Combine sugar and cinnamon in small bowl; set aside.
Prepare pans: Grease two 8½x4½-inch bread pans; set aside.
Roll or pat each dough into a 12x8-inch rectangle. Brush one dough with melted butter; sprinkle with half of cinnamon mixture. Place half the apple pieces and walnuts evenly over dough. With a rolling pin, push apples, walnuts and cinnamon sugar lightly into the dough. Roll dough tightly, starting with the short (8-inch) end; pinch edges to seal. Repeat with the second dough.
The dough is very soft and sticky. Carefully lift and place pieces into prepared pans. Press dough to fit pan, and smooth top. Cover; let rise until almost double in size, or until indentation remains after touching.
Preheat oven to 350°F.
Bake for 35-40 minutes, until golden brown. Place a tented piece of aluminum foil over breads during the last 15 minutes to prevent over-browning. Remove from oven after baking and brush tops of loaves with remaining melted butter. Remove from pans; cool on wire rack 10-20 minutes.
Prepare glaze: Combine glaze ingredients. Drizzle on loaves.
Delicious when served warm.