Combine flour, sugar, salt, and yeast in a mixer bowl.
Mix in melted butter, egg, vanilla, and warm milk for 8 minutes until smooth.
Place dough in an oiled bowl and let rise for 1 hour until doubled.
Melt butter with milk for the filling in a small pan and cool slightly.
Process walnuts, vanilla, sugar, and cocoa into a powder, then pulse in the milk mixture and yolk.
Roll out dough on a floured sheet into a 50x30cm rectangle and brush with 15g melted butter.
Stretch dough by hand from the centre until translucent and measuring 100x60cm.
Spread the walnut filling evenly over the dough.
Roll the dough tightly using the sheet to assist.
Place the roll in a greased tin in double 'U' shapes and rise for 1 hour.
Preheat oven to 180°C.
Brush with egg white and bake for 15 minutes, then at 150°C for 45 minutes.
Cool in the tin for 30 minutes before moving to a wire rack.
Drizzle with a mixture of icing sugar and water.