In a small bowl, combine the warm milk with the granulated sugar and yeast. Stir gently to dissolve the yeast and sugar. Let the mixture sit for about 5 to 10 minutes or until frothy, which means the yeast is active.
Add the yeast mixture to a mixing bowl with the flour, salt, vanilla, oil, and egg yolk. Mix in a stand mixer, food processor, or by hand until the ingredients form a dough.
Turn the dough onto a floured surface and knead for 5 to 7 minutes until smooth and elastic. You may need to add more flour if the dough is sticky.
Place the dough in a greased bowl and cover it with a kitchen towel or plastic wrap. Let it rise in a warm place for about one hour or until doubled in size.
While the dough rises, mix the cinnamon with the brown sugar and set aside.
Once the dough has risen, punch it lightly to remove the air bubbles, then divide it into 4 equal portions.
Roll out one of the pieces of dough on a floured surface into a large circle, about 10 to 12 inches in diameter. Place it on a parchment paper-lined baking sheet.
Spread 2 tablespoons of butter over the circle of dough, then sprinkle a third of the cinnamon sugar mixture on top.
Roll a second layer of dough and place it on top. Cover with 2 more tablespoons of butter and another third of the cinnamon sugar mixture, then repeat a third time.
Roll out the final layer of dough and place it on top.
Place a small circular object, like a glass or a biscuit cutter in the center of the stack of dough to create an indentation.
Use a knife or pizza cutter to divide the dough into 16 equal portions, leaving the center untouched.
Take 2 adjacent pieces of dough and twist them away from each other, then pinch them together at the ends. Repeat with the rest of the dough.
Cover the dough with a kitchen towel and let it rise for 20 to 30 minutes.
While the dough rises, preheat your oven to 350˚F.
In a small bowl, whisk one whole egg with 2 tablespoons of milk; brush the egg mixture over the top of the star bread.
Place the bread in the oven and bake for 20 to 25 minutes or until golden brown.
Cool the bread for 10 minutes on a wire rack, then dust it with powdered sugar and serve it warm.