In a large mixing bowl, whisk together the all-purpose flour, granulated sugar, instant yeast, and salt. Gradually pour in the warm milk and add the large egg and softened butter. Mix until a soft dough begins to form, about 2-3 minutes.

Turn the dough onto a floured surface and knead for 8-10 minutes until it becomes smooth and elastic. Shape it into a ball and place it in a greased bowl.

Cover the bowl with a clean kitchen towel and let it rise in a warm area for about 1 hour, or until doubled in size.

In a separate bowl, beat together the cream cheese, powdered sugar, vanilla extract, and egg yolk until smooth and well combined. Chill in the refrigerator.

Combine the blueberries, sugar, and lemon juice in a saucepan. Cook for about 5-7 minutes, stirring gently. Mix cornstarch with water to form a slurry, then stir it into the saucepan until thickened, about 2 minutes. Cool.

After the first rise, punch down the dough. Divide into 10-12 equal pieces and shape into balls, creating a well in each center.

Spoon the cheesecake filling into the well of each bun, followed by blueberry compote. Optional: sprinkle crumble topping before closing.

Preheat oven to 350°F. Brush tops with melted butter and bake for about 18-22 minutes until golden brown.

Let cool on a wire rack for 5-10 minutes. Dust with powdered sugar before serving.