Cook the first 4 ingredients in a medium saucepan over low heat, stirring often, until butter melts. Remove from heat and cool mixture to 100°-110°. While preparing the above, stir together yeast, 1/2 cup warm water, and 1 tablespoon sugar in a 1-cup glass measuring cup. Let stand 5 minutes.
Lightly beat 2 large eggs with a stand mixer. Add sour cream mixture, yeast mixture, and 2 cups of flour. Beat at medium speed until smooth. Reduce speed to low, and gradually add enough of the remaining flour (4 to 4-1/2 cups) until a soft dough forms.
Turn dough out onto a lightly floured surface. Knead until smooth and elastic (about 10 minutes). Place in a well-greased bowl, turning to grease top. Cover and let rise in a warm place, free from drafts, 1 hour or until dough is doubled in size.
Beat 3/4 cup sugar, cream cheese, 1 egg, and pie filling at medium speed with a mixer until smooth. Set aside.
Punch down dough, and divide in half. Roll each portion into a 22x12-inch rectangle. Spread half of the 1/4 cup softened butter evenly on each rectangle. Sprinkle 1/4 cup sugar and 1 teaspoon cinnamon on each rectangle. Then spread cream cheese mixture evenly on each rectangle, leaving 1-inch borders.
Roll up each dough rectangle, jelly-roll fashion, starting at 1 long side. Place one dough roll, seam side down, on a lightly greased baking sheet. Bring ends of roll together to form an oval ring, moistening and pinching edges together to seal. Repeat with second dough roll.
Cover and let rise in a warm place, free from drafts, 20 to 30 minutes or until doubled in bulk.
Bake at 375° for 14 to 16 minutes or until golden. Slightly cool cakes on pans on wire racks (about 10 minutes).
Spread glaze over warm cakes. Sprinkle with colored sugars, alternating colors and forming bands. Let cool completely.
3 cups powdered sugar
3 tablespoons butter, melted
1/4 teaspoon vanilla extract
4 to 6 tablespoons milk
Stir together first 3 ingredients. Stir in 4 tablespoons milk, adding additional milk, 1 teaspoon at a time, until spreading consistency.