Prepare Dough: In a large mixing bowl, whisk together flour, sugar, yeast, and salt. Gradually add warm milk, egg, and butter, stirring until a soft dough forms.

Knead: Transfer dough to a floured surface and knead for 8-10 minutes until smooth and elastic.

First Rise: Shape dough into a ball, place it in a greased bowl, cover, and let rise for 1 hour.

Cheesecake Filling: Beat cream cheese, powdered sugar, vanilla extract, and egg yolk until smooth; cover and refrigerate.

Blueberry Compote: In a saucepan, cook blueberries, sugar, and lemon juice over medium heat until bursting, then add cornstarch slurry to thicken.

Shape Buns: Punch down the dough after rising, divide into 10-12 pieces, and shape into balls with indentations.

Fill Buns: Spoon cheesecake filling and blueberry compote into each bun's indent; add crumble topping if desired.

Bake: Preheat oven to 350°F. Brush buns with egg wash and bake for 18-22 minutes until golden brown.

Cool: Remove from oven, cool on a wire rack, and dust with powdered sugar before serving.