Mix together the yeast and warm water in a large bowl. Whisk well until all the yeast dissolves. Set aside for 3 minutes until it becomes foamy. Bring in milk, salt and sugar. Mix again until all the wet ingredients are well combined. Set aside so you can make the butter-flour mixture.
Cut the cold butter into small cubes, about ¼ inch thick. Transfer them to a food processor. Add all the flour. Pulse ten or twelve times so the butter will get crumbled.
Transfer the flour-butter mixture to the wet ingredients. Be very gentle when starting to fold them together. You will only need to moisten the dry ingredients. It is extremely important that the butter remains in pieces. This is how you make sure you’ll get a flaky dough. Therefore, be very considerate and compassionate when you combine the wet and dry ingredients to get the dough. Transfer it to a large piece of plastic wrap and hold it tightly. Take the dough to the fridge and chill it for at least four hours or overnight.
After that, we will proceed with the rolling and folding operation. So take the dough out of the refrigerator to begin.
Flour well your work surface. Keep the flour nearby as the dough will be very sticky.
Flour your hands and gently flatten the dough with your palms to create a small square. Also flour the rolling pin and roll out into a rectangle of about 15-inch long. You might want to have a ruler at hand. Whenever you see that the dough sticks to the working surface or the rolling pin spread some flour in those areas. Fold the dough as you would do with a business letter: fold one third and then place the remaining third on top. Turn the dough once counterclockwise. Roll out again into a 15-inch rectangle, and then fold again. Repeat these steps once again so you will have a total of three times “rolling and folding”.
Fold the dough again tight in plastic wrap and take it to the refrigerator for minimum 30 minutes and up to 24 hours.
Right before you start preparing the dough braids, you need to make the cream cheese filling. Place the cream cheese and egg yolk in a medium bowl. Beat together until smooth. Add in the lemon juice, vanilla and sugar. Mix again until everything is well combined.
Take it out of the fridge, cut into two equal pieces, wrap one of them again and put it back to the fridge as you work with the first half.
Line your work surface with a piece of parchment paper. Flour it very well. Roll out the dough. You will need to create a 12’’x6’’ rectangle. Keep your ruler close to you. It is best to make the dough braid on a piece of parchment paper or silicone mat so you can transfer it directly to the baking tray. Otherwise it would be very hard to handle and need a lot of care to do that.
Cut two corners of the rolled sheet on one small side and then two small triangles at the other end. Each triangle needs to be about 1 ½ inches apart from the edge of the sheet. Spread half of the cream cheese filling on the length of the center of the rolled dough.
Use a very sharp knife to cut oblique strips along both sides. If your strips remain stuck on the parchment paper, it means you haven’t floured the surface enough. Don’t panic, there is a solution. Flour the knife well and gently begin to insert underneath each strip so you will be able to separate it from the paper. Weave the strips on top of the cream cheese filling. Seal the filling by folding the bottom end up and transfer the braid along with the parchment paper to the tray. Set it aside to rest until you repeat the same process with the second piece of dough.
Preheat the oven to 400F.
Beat the egg for the egg wash. Brush the braids with the beaten egg to give them that beautiful glaze.
Bake the braids separately, don’t try to squeeze both trays into the oven because it is possible that the top braid will not bake the same as the bottom braid. Bake for about 15-20 minutes, depending on your oven. My advice is to rotate the tray several times to ensure the braids bake evenly.
I know it is hard, but let them cool for at least 10 minutes before sprinkling confectioners’ sugar and digging in.