Preheat oven to 400°F (200°C). Line a rimmed baking sheet with parchment paper.
For apples: In a large bowl, stir together apples, granulated sugar, lemon juice, and pie spice. Let stand for 15 minutes, stirring occasionally. Spread apple mixture in an even layer on prepared pan.
Bake until apples are fork-tender and have released significant moisture, 12 to 14 minutes, rotating pan and stirring halfway through baking. (Apples will be slightly reduced in size but should still retain their shape.) Let cool on pan on a wire rack.
For dough: In the bowl of a stand mixer fitted with the paddle attachment, beat 1/2 cup (62g) flour, granulated sugar, brown sugar, yeast, and salt at medium-low speed until combined. Add warm milk, eggs, and vanilla; beat at medium speed until combined, about 2 minutes, stopping to scrape sides of bowl. With mixer on low speed, gradually add remaining 1 1/2 cups (188g) flour, beating just until combined.
Switch to the dough hook attachment. Beat at low speed until dough is relatively smooth, elastic, and starts to pull away from sides of bowl, 6 to 9 minutes, stopping to scrape sides of bowl and dough hook. Add butter, 1 tablespoon (14g) at a time, beating until combined after each addition (6 to 8 minutes total); scrape sides of bowl and dough hook. (Dough may look slightly broken during this process but will come together.) Increase mixer speed to medium-low; beat until a smooth, elastic dough forms, about 6 minutes, stopping to scrape sides of bowl and dough hook. (Dough should pass the windowpane test; see Notes2.)
Turn out dough onto a clean surface; knead 4 to 5 times. Shape into a smooth round. Place dough in a large ungreased bowl; cover and let rise in a warm, draft-free place (75°F/24°C) until doubled in size, 45 minutes to 1 hour. (See Notes3.)
Preheat oven to 350°F (180°C). Line 2 baking sheets with parchment.
Punch down dough; cover and let stand for 10 minutes. Turn out dough onto a clean surface and divide into 9 portions (about 54g each). Gently shape each portion into a smooth ball, pinching any seams to seal and covering with plastic wrap while working with remaining dough.
Press or roll each dough ball into a 3½-inch-wide round; place 1½ to 2 inches apart on prepared pans. (Dough rounds may shrink slightly.) Cover and let rise in a warm, draft-free place (75°F/24°C) until puffed and dough holds an indentation when poked, about 25 minutes.
For filling: In the bowl of a stand mixer, stir together butter, granulated sugar, brown sugar, vanilla, salt, and pie spice by hand until well combined. Using the paddle attachment, gradually add cream cheese, beating at medium speed until smooth. Add egg yolk; beating until combined. Beat in flour until smooth and well combined, stopping to scrape sides of bowl.
Using a floured 1/4-cup glass jar, make a 2¼-inch-wide, ¼- to ½-inch-deep well in center of each dough round. (See Notes4.) Divide filling among dough rounds (about 4 teaspoons or 17g each), spreading to fill evenly. Arrange apples on top of filling as desired. (Discard or save any leftover apple slices as a snack.)
In a small bowl, whisk together egg and 1 tablespoon (15g) water. Brush outer edge of dough with egg wash, and sprinkle with pearl sugar.
Bake, one batch at a time, until golden brown, 8 to 10 minutes, rotating pan once halfway through baking. Serve warm or at room temperature. Brush apple slices with jelly or preserves (if using) before serving.