Add the warm milk and the yeast to a stand mixer bowl. Let it sit for about 5 minutes until yeast is activated. Add the egg, butter, salt, sugar and flour. With with dough hook, beat on low for 2 minutes until the dough is combined and forms a ball. Then let the dough hook knead the dough on medium speed for about 6-7 minutes. Cover the dough and let it rise in a warm place until doubled in size, about 20-30 minutes.
Roll out the dough into a 10x20 rectangle. Spread 3 tablespoons of butter over it. Sprinkle brown sugar and cinnamon over the top, then roll it up like a jelly roll. Cut it into about 1 inch slices and press them into the bottom of a 10.5 inch springform pan that is sprayed with cooking spray.
For the cheesecake: In a stand mixer, mix the cream cheese, eggs, sour cream, sugar and vanilla. Beat until smooth and creamy, about 3 minutes.
For the cinnamon filling: In a bowl, stir together the butter, brown sugar and cinnamon.
Layer half of the cheesecake batter in the springform pan on top of the pressed cinnamon rolls. Drop teaspoonfuls of the cinnamon filling on top of the cheesecake layer, using about half of the filling. Pour the remaining cheesecake layer over top, and add the last teaspoonfuls of cinnamon filling. Take a butter knife and gently swirl through the cheesecake & cinnamon filling layers.
Bake at 350 degrees for 50-55 minutes or until the cheesecake is set. Allow the cheesecake to cool to room temperature, then store it in the fridge.
Use store bought unbaked cinnamon rolls for a quick shortcut! Mix a little powdered sugar and milk for a glaze to drizzle on top.