In a large bowl, add the warm milk and yeast. Mix and let stand for 5 minutes.
In a mixing bowl with hook attachment, add the flour, sugar, eggs, vanilla extract, salt, and yeast milk and mix on slow speed for 4 minutes.
Add in the butter and continue to mix for additional 3-4 minutes or until the dough is smooth and well developed.
Place the dough into a greased bowl and cover with plastic for 60 minutes or until the dough doubles in size.
Divide the dough into equal portions and form round buns.
Put them in a greased tray and brush with the beaten egg.
Proof for 45 minutes.
Preheat the oven to 180 C / 350 F about 15 minutes prior to the dough is fully proofed.
Next, add the coconut filling on top of each sweet roll.
Bake for 18 to 20 minutes or until golden brown.
Remove from oven and allow to cool completely before sprinkling with icing sugar.
Once cooled, transfer to a serving plate and serve. Enjoy!