Mix the flour and salt together in a large bowl and set aside. Roughly cut the butter into pieces and add to the milk in a small saucepan. Place over a medium-low heat and warm gently (don't let it boil) until the butter melts then remove from the heat. Let it cool slightly until lukewarm.
Add the yeast and sugar to the warm buttery milk and stir to mix in and dissolve (it's OK if not completely dissolved). Pour the mixture into the flour and mix. As it's starting to come together, it's usually best to mix with your hands. Alternatively, you can mix and then knead with a stand mixer (knead with dough hook around 3 min).
If mixing by hand, bring the dough together and then knead on a lightly floured surface. Knead for around 5 minutes, turning 90 degrees, stretching and folding over, until the dough is smooth and not sticky. Transfer the dough to a clean bowl, cover and leave to rise for about 1 hour at warm room temperature.
Once the dough has risen, remove from the bowl, knock back the dough then divide into 4 equal pieces. Roll each into a ball and Leave for around 10 minutes.
Meanwhile, mash the butter for the filling to soften it then separately mix the sugar and cinnamon. Mash the butter into the cinnamon sugar to combine them into a smooth paste. Divide the mixture into three.
Take each piece of dough one at a time and roll into a circle roughly 9 ½ in (24cm) diameter. You can use a plate to help guide on shape. Once you have rolled one, set aside then repeat until you have four relatively equal sized and shaped circles of dough.
Take one round of dough and place on a lined baking sheet (either silicone baking mat or parchment). Carefully spread ⅓ of the cinnamon butter over the middle of the piece of dough leaving around ¾ - 1 in (2 - 2.5cm) space without the mixture around the edge.
Once you have spread the butter mixture evenly, place another circle of dough on top. Gently stretch the edges to line up with the piece of dough below, as needed. Then top with another ⅓ of the cinnamon butter, as above. Repeat with the next piece of dough and rest of the butter mixture, then top with the final piece of dough (so four layers of dough with three layers of filling in between).
Place a small round cookie cutter or other light object around 2 ½in (6 ½cm) diameter in the middle of the top layer. Don't press it down. Use a knife to mark out four cuts equally spaced apart from the edge in as far as the edge of the cutter (so at N, E, S, W points). Then, cut equally halfway between each cut, then halfway again. You should have 16 equally spaced cuts from the outside in towards the middle with a gap where the cutter is. Make sure the sections are separated.
Take two stacks of dough next to each other, lift them up slightly and twist them away from each other around 2 - 3 full turns. Don't twist them too tight, just enough to get relatively even stripes of filling showing along the pieces of dough. Repeat twisting the next two pieces as a pair and again around all of the circle.
Once all of the dough is twisted, remove the cutter from the middle. Take one of the pairs of dough (so where the twists are away from each other making upside down Vs looking from outside to middle) and turn the pieces of dough 90 degrees to have the outside edges of the dough end on to each other. Press the pieces of dough together to form a point - you can fold one edge over the other if it helps. Make sure the piece of dough on the outside go all the way into the join so they are held in the join, otherwise they may open out in baking. Repeat with the rest of the dough to give you 8 points.
Cover and leave the star to rise for around 30 - 40 minutes more until the dough has puffed up a bit and looks slightly swollen. Towards the end, preheat the oven to 400F/200C.
Gently whisk the egg then brush the outside of the bread with the egg to give an even, light coating (This helps give an even brown color when baked). Then, bake the bread for around 12 - 15 minutes until it's an even golden brown and firm to touch.
Leave the bread to cool on the baking sheet for around 10 minutes to help some of the cinnamon butter that may have escaped during cooking work its way back in. Best served warm - you can simply tear off sections. If you like, gently dust with sifted powdered sugar (icing sugar).