Warm the milk and melt the butter together, then let it cool until just warm on your skin. In a mixer, combine most of the flour with the yeast, sugar, and salt. Add the egg and milk mixture, mixing until a soft dough forms.
Turn your dough onto a floured surface and roll into a large rectangle. Spread softened butter all over, then sprinkle the cinnamon sugars, chopped apples, and drizzle with caramel sauce evenly.
Roll the dough snugly from the long edge until you have a big log. Use dental floss or a sharp knife to cut it into 11–12 slices, then place them into a greased baking dish.
Cover the pan with a damp towel and let the rolls rest in a warm spot so they get fluffy and light before baking.
Bake at 350°F until the tops are golden and the centers feel soft yet cooked through. Let cool briefly before adding that extra drizzle of caramel sauce.