In a large mixing bowl or the bowl of a stand mixer, combine the warm milk, sugar, and yeast. Let it sit for about 5 minutes until it becomes foamy. Add the melted butter, egg, salt, and half of the flour. Mix until combined, then gradually add the remaining flour until a soft dough forms.
Knead the dough on a lightly floured surface for 5-7 minutes, or use the dough hook on your mixer, until the dough is smooth and elastic. Place the dough in a greased bowl, cover with a clean kitchen towel, and let it rise in a warm spot for about 1 to 1.5 hours, or until it has doubled in size.
While the dough is rising, mix the finely chopped apples with the brown sugar and cinnamon in a small bowl. Ensure the apples are chopped very small so they don’t break through the dough layers during the shaping process.
Punch down the risen dough and divide it into four equal pieces. On a lightly floured surface, roll each piece into a 10-inch circle. Try to keep them as uniform in size as possible.
Place the first circle of dough onto a piece of parchment paper. Spread a thin layer of softened butter and then one-third of the apple cinnamon mixture, leaving a half-inch border around the edges. Top with the second circle of dough and repeat the process until the fourth circle is placed on top (do not put filling on the top layer).
Place a small glass or circular cutter in the center of the dough as a guide. Cut the dough into 16 even strips starting from the edge of the glass to the outer edge of the dough. Take two adjacent strips and twist them away from each other twice, then pinch the ends together to form a point. Repeat this for all pairs to create an 8-pointed star.
Cover the star bread and let it rise for another 20 minutes. Pre-heat your oven to 375°F (190°C). Brush the dough with an egg wash (one egg beaten with a splash of water). Bake for 22-25 minutes or until the bread is a deep golden brown. Remove from the oven and let it cool slightly before dusting with powdered sugar.