Grease square 8x8 baking pan. Cut cold butter into 1/4" cubes. Toss baking mix and cubes until coated. Beat milk and egg; stir into butter mixture. Turn dough onto cloth covered board generously dusted with baking mix; roll to coat dough.
Fold and knead 10 times; roll into rectangle, 15x8". Spread with soft butter. Mix sugar and cinnamon; sprinkle evenly over dough. Roll up, beginning at 15" side. Pinch edge into roll. Cut into 12 slices with sharp knife. Place cut sides down in pan.
Bake until golden, about 15 minutes. Cool 15 minutes and drizzle with GLAZE: (mix until smooth) 1 cup powdered sugar, 1 TBSP milk and a few drops of vanilla.