In a large bowl or the bowl of a stand mixer, combine the warm milk, granulated sugar, and yeast. Let it sit for about 5 to 10 minutes until the mixture becomes foamy and bubbly. This step ensures your yeast is alive and ready to make the dough rise.
Add the softened butter, egg, salt, and 2 cups of flour to the yeast mixture. Use a dough hook or a sturdy spoon to mix until combined. Gradually add the remaining flour, half a cup at a time, until a soft dough forms and clears the sides of the bowl.
Knead the dough on a lightly floured surface for 5-7 minutes, or in the stand mixer for 5 minutes, until it is smooth and elastic. Place the dough in a greased bowl, cover it with a clean kitchen towel, and let it rise in a warm, draft-free spot for 1 to 1.5 hours, or until it has doubled in size.
Punch the dough down and divide it into four equal pieces. On a piece of parchment paper, roll one piece into a 10-inch circle. Spread a thin layer of apple butter over the circle, leaving a 1/2-inch border. Sprinkle with a mixture of brown sugar and cinnamon. Repeat this with the next two layers, stacking them on top of each other. Place the fourth circle on top, but do not add filling to the final layer.
Place a 2-inch wide glass in the center of the dough stack to mark the middle. Using a sharp knife or pizza cutter, cut the dough into 16 even strips from the edge of the glass to the outer rim. Pick up two adjacent strips and twist them away from each other twice, then pinch the ends together to form a point. Repeat this for all 16 strips to create an 8-pointed star.
Cover the star loosely and let it rise for another 30 minutes. Meanwhile, preheat your oven to 375°F (190°C). Brush the bread with an egg wash made of one egg beaten with a tablespoon of water. Bake for 25-30 minutes until the bread is a deep golden brown. Remove from the oven and let it cool slightly before dusting with powdered sugar.