Arrange the 12 King’s Hawaiian Rolls snugly in an oven-safe pan, then use a small steak knife to cut a well into the center of each roll about 3/4 of the way down. Angle the knife slightly inward, about 45 degrees, so the opening is wide at the top while a sturdy layer of bread stays intact on the bottom.
Melt the 1/2 cup unsalted butter in the microwave, then stir in the 2 tbsp brown sugar and 2 tsp cinnamon until evenly combined. The mixture should look glossy and smell strongly of cinnamon, with the sugar starting to dissolve into the warm butter.
Brush the cinnamon butter generously inside each hollowed center and over the tops and sides of the rolls. A thorough coating helps the crust brown evenly and creates those caramelized edges instead of leaving pale dry spots.
In a medium mixing bowl, combine the 8 oz cream cheese, 3 tbsp granulated sugar, and 1 egg until smooth. The filling should look creamy and mostly lump-free, so pause and soften the cream cheese for about 20 seconds in the microwave if it still feels too firm.
Spoon the cream cheese filling into the center of each roll, dividing it as evenly as you can without overfilling. Fill each cavity to the top edge, since the mixture will puff slightly and settle as it bakes.
Heat the oven to 375 °F and bake the rolls for 12 minutes. They are ready when the tops look golden, the kitchen smells like caramelized cinnamon sugar, and the cheesecake centers show only a slight wobble.
Remove the pan from the oven and sprinkle a little cinnamon over the tops before serving warm or letting them rest for 15 minutes. Serve right away for a gooier middle, or wait for the filling to firm up into more of a classic danish texture.