Prepare the yeast: Whisk in the yeast until it has dissolved in the water. Set aside.
Whisk the flour, sugar and salt together and set aside.
Combine the heavy cream and butter together in a pan. Use the stove and heat until the butter has melted and the mixture is warm to the touch (about 110°F/43°C, no higher).
Pour mixture and yeast into the dry ingredients, add the egg, and stir with a sturdy rubber spatula or wooden spoon or use a stand mixer with a paddle attachment on medium speed. Mix until a soft dough forms.
Transfer dough to a lightly floured surface. Using floured hands, knead the dough for 3-5 minutes. You should have a smooth ball of dough. If the dough is super soft or sticky, you can add a little more flour. Place in a lightly floured bowl, cover loosely, and let the dough rest for about 10 minutes as you get the filling ingredients ready.
-> Filling
Mix the sugar and ground cinnamon together in a small bowl
After 10 minutes, roll the dough out in a 14×8-inch (36×20-cm) rectangle. Spread the softened butter on top (make sure it is very very soft. Sprinkle the sugar and cinnamon all over the dough.
Roll up the dough to make a 14-inch log. Cut into 10–12 even rolls and arrange in a lightly greased pan.
-> Rise
Preheat your oven to 150°F (66°C), then turn it off. Cover the shaped rolls with a lightly wet kitchen towel and place the pan inside the warm oven. Let them rise for 60-90 minutes. They should have doubled size.
-> Bake
Take the rolls out of the oven and preheat it to 375ºF (190º C). Let them bake for 24-27 minutes. They should turn lightly brown.
-> Icing
In a medium bowl using a handheld or stand mixer fitted with a paddle or whisk attachment, beat the cream cheese on high speed until smooth and creamy.
Add the soft butter and beat until smooth and combined, then beat in the powdered sugar and vanilla.
Using a knife or icing spatula, spread the icing over the warm rolls and serve immediately. (If the rolls will not be eaten warm, wait for them to cool down before icing them).