In a large bowl, mix the flour, sugar, salt, and yeast together until evenly dispersed. Set aside.
In a small microwavable bowl, heat the water, milk, and butter together in the microwave until the butter is melted (about 30-45 seconds).
Stir the butter mixture into the flour mixture. Add the egg and knead with your hands on a lightly flowered surface or with a stand mixer for 3-4 minutes or until the dough is no longer sticky.
Place in a lightly greased bowl and let rest for about 5 minutes.
Preheat the oven to 100C and turn off after 10 minutes or just before placing rolls in the oven.
After the dough has rested for 5 minutes, roll it out in a 15×9 inch rectangle. Spread the softened butter on top. Mix together the cinnamon and sugar and sprinkle it all over the dough. Roll up the dough tightly and cut into 9 (large) or 16 (small) even pieces. Place on a lightly greased tray.
TURN OFF the oven and place the cinnamon buns in the oven to rise for 20 minutes. Keep the buns in the oven and turn on the oven to 190C. Bake the cinnamon rolls for 15-20 minutes or until golden. Remove from oven and top with glaze.
Mix the powdered sugar, vanilla and 2 Tablespoons milk together until smooth and lump-free. Drizzle over warm rolls.