In a small saucepan, heat the milk until just warm (105°-115° F). Pour into a large mixing bowl, then add the yeast. Stir until yeast is dissolved. Let stand 5 minutes or until foamy.
With a mixer, beat 1/4 cup melted butter, 2 tablespoons sugar, egg, and salt into the yeast mixture until combined. Add half the flour, then beat on low for 30 seconds, scraping bowl as needed. Increase speed to medium and beat 3 minutes more. Stir in remaining flour. Shape in a ball (dough will not be smooth). Transfer dough to an oiled bowl. Cover and refrigerate overnight or up to 2 days. (Or, to make right away, cover and set in a warm place to rise for 45-60 minutes or until nearly double).
Butter a 9 x 5 x 3-inch loaf pan; set aside. Remove dough from the refrigerator. On a lightly floured surface, roll dough to 20 x 12-inch rectangle. Brush dough with 1/4 cup melted butter, then sprinkle with a mixture of 3/4 cup sugar and cinnamon. Cut dough rectangle crosswise in five 12 x 4-inch strips. Stack strips, then cut six 4×2-inch pieces, leaving stacks intact. Loosely stagger pieces in pan, cut sides up.
Let rise in a warm place for 45 minutes or until nearly double in size.
Preheat oven to 350° F. Bake loaf about 30 minutes or until golden brown. Cool in pan on wire rack for 10 minutes. Transfer from pan to serving plate.
Drizzle with Salted Caramel Sauce. Cool 20 minutes more. Pull apart or slice to serve.