Heat the milk in a small saucepan until it bubbles, then remove from heat. Mix in butter; stir until melted. Let cool until lukewarm.
In a large mixing bowl, combine 2 1/4 cup flour, yeast, sugar and salt; mix well. Add water, egg and the milk mixture; beat well. Add the remaining flour, 1/2 cup at a time, stirring well after each addition.
When the dough has just pulled together, turn it out onto a lightly floured surface and knead until smooth, about 5 minutes.
Cover the dough with a damp cloth and let rest for 10 minutes.
Roll out dough into a 15×10 inch rectangle.
Transfer dough to a greased baking sheet and spoon pie filling down the center, about 3″ wide.
Cut strips down each side of the dough, just to the filling. 3/4″-1″ wide.
Begin folding sides over each other, alternating left to right. Press down to seal ends.
(You can leave it as is, or shape into a candy cane.)
Stretch loaf out to about 20″ long and fold down to form candy cane shape.
Cover and let raise for 30 minutes. Preheat oven to 350 degrees and bake for 30 minutes or until golden brown. Let cool for 10 minutes then drizzle with vanilla glaze.
Vanilla Glaze: Mix powdered sugar, butter, and vanilla. Stir in water, 1 T. at a time until smooth.