Mix the warm milk, sugar, and yeast in the bowl of a stand mixer. Let it stand for 5-10 minutes, until foamy. Add the butter, vanilla, egg, and salt until well combined. Then, mix in three cups of the flour until the dough starts to come together.
Using a dough hook (or your hands), knead for 5-7 minutes, until the dough is smooth and slightly sticky. It should be tacky but shouldn't leave any dough on your hands. If it's too sticky, add flour 2 Tbs. at a time until it's the right consistency. You may need up to 3 1/2 cups of flour total.
Place the dough in an oiled bowl, and cover with a towel. Place the dough in a warm, draft-free spot and let it rise until doubled in size, about 45-60 minutes.
In a small bowl, stir together the cookie butter and cinnamon until well combined. Microwave for about 20 seconds until it's very spreadable. (You may need to microwave it a few times throughout the spreading process).
Punch down the dough to release any air bubbles. Divide the dough into four equal pieces. Roll each piece of dough into a 10-inch circle on a lightly floured surface. Use a 10-inch plate or bowl to make an imprint in the surface of the dough. Using a pizza cutter or sharp knife, cut around the imprint until you have four perfect 10-inch circles.
Place one circle of dough on a piece of parchment paper. Spread 2 Tbs. of the cookie butter filling on the dough, and top with another layer of dough. Repeat two more times, finishing with the fourth layer of dough. No filling goes on top of the fourth layer!!
Place a 2-inch round cookie cutter or bowl in the center of the dough stacks. Using a pizza cutter or sharp knife, cut 16 even strips around the center of the dough, leaving the two inches in the center intact. I did this by cutting the dough into four equal sections in a cross shape and then cutting each quarter into four strips.
Grab two adjacent strips, placing one in each hand. Twist the strips two times in opposite directions (I twist them away from each other). Press the ends together to make a point. If they don't stick, use a very small amount of water or egg wash to press them together. Repeat with the remaining strips. You will have 8 points total.
Transfer the assembled bread on the parchment paper to a baking sheet. Cover with a towel, and let it rise in a warm spot for 20 minutes, or until puffy.
Preheat the oven to 350°F. Brush the assembled star bread with egg wash. Bake for about 20-25 minutes, until it's a beautiful golden brown. The internal temperature should register 190°F.
Let it cool on the counter for about 5 minutes. Dust with powdered sugar, and serve with lots of hot coffee!