Preheat your oven to 350°F (175°C). Lightly grease a baking sheet or line it with parchment paper.
Carefully slice each King’s Hawaiian Sweet Roll in half, but not all the way through, creating a pocket.
In a medium bowl, mix the softened cream cheese, granulated sugar, vanilla extract, and egg yolk until smooth and well combined.
Spoon or pipe the cream cheese mixture into the pocket of each sweet roll.
Arrange the filled rolls on the prepared baking sheet, ensuring they are not touching.
Brush the tops of the rolls with melted butter, then sprinkle evenly with the cinnamon sugar mixture.
Bake in the preheated oven for 15-20 minutes, or until the rolls are golden brown and the filling is set.
Allow the danishes to cool slightly on the baking sheet. Dust with powdered sugar before serving.