In a large mixing bowl, blend warmed milk, instant yeast, melted butter, and egg until combined. Gradually add sea salt, sugar, and all-purpose flour until a cohesive dough forms.

Cover the bowl with a clean kitchen towel and let the dough rest at room temperature for about 15 minutes.

Once the dough has rested, generously flour your work surface and roll the dough into a rectangle approximately 12 inches long and 7 inches wide.

Spread softened butter evenly over the rolled-out dough, then evenly sprinkle the brown sugar and ground cinnamon mixture over the surface.

Starting from the long edge, carefully roll the dough tightly into a log shape and slice into 9 equal sections.

Line the air fryer basket with aluminum foil and place sliced rolls inside, covering loosely with a kitchen towel for another 10 minutes.

Preheat your air fryer to 300°F (150°C) and cook the rolls for about 10 minutes, checking for doneness at the 8-minute mark.

Prepare the icing by beating cream cheese and softened butter until smooth, then gradually add powdered sugar and vanilla extract.

Spread the prepared icing over the warm cinnamon rolls right after cooking.