In a small saucepan, heat water and milk until lukewarm (110°F-115°F). Sprinkle the yeast over the lukewarm milk mixture and let it sit for 10 minutes.
In a bowl of a standing mixer fitted with a dough hook, add the butter, egg, sugar and salt and mix. Add the milk mixture and mix until combined. Add flour and mix on low speed until the dough comes together and pulls away from the sides of the bowl. The dough should be soft, smooth, elastic and just slightly sticky. Once it has reached this consistency, keep kneading on low speed in the mixer for 5 minutes. Cover the dough with plastic wrap and let rest in a warm place for about one hour until doubles in size.
Meanwhile, make the filling. In a small bowl, mix together sugar and cinnamon. Set aside.
Preheat oven to 375°F/190°C. Bake cinnamon rolls in the preheated oven for 25-30 minutes, until the tops have browned and a skewer inserted into the rolls comes out clean. If the rolls brown too fast, cover them loosely with aluminum foil. Allow to cool on a wire rack before glazing.
To make the glaze, mix all ingredients together, adding little cream at a time until the desired consistency. Drizzle over the rolls. Serve rolls warm or reheat before serving.