In a mixing bowl with a dough hook, combine milk, sour cream, sugar, egg, yeast, and flour. Start mixing on low speed for about 5 minutes, then add salt and gradually add the cold cubed butter. Continue mixing for an additional 2 minutes. Increase the mixer speed to medium-high and continue mixing for about 12 more minutes until you have a smooth and uniform dough.
Cover the dough and let it rise until it doubles in size (about 1 to 1.5 hours at room temperature or overnight in the refrigerator).
Filling:
In a food processor, combine pecans, melted butter, cinnamon, and granulated sugar. Process until you have a uniform mixture.
Once the dough has risen, divide it into two equal portions. Roll each piece into a thin rectangle on a floured surface. Spread a layer of the pecan mixture evenly over each rectangle. Roll up each rectangle into a log, then cut each log into 4 cm-wide slices. Place the slices in a suitable baking dish, press down lightly, and let them rise for about 35 minutes.
Cheese glaze:
Mix together soft butter, cream cheese, and powdered sugar until you have a smooth and uniform texture. Refrigerate the glaze.
In a small saucepan, heat the heavy cream until it's about to boil, then remove it from the heat.
In a wide skillet over high heat, add sugar. When the sugar begins to caramelize in the center, reduce the heat to medium and move the pan around occasionally until you have a deep amber caramel.
Turn off the heat and add the butter, stirring vigorously until it's fully incorporated. Then, reheat the mixture over medium heat, adding a bit of the warm cream at a time and stirring until you have a smooth caramel sauce. Once everything is combined, turn off the heat.
Baking and assembly:
Preheat the oven to 355℉ (180℃) with the fan on, and bake the cinnamon rolls for about 35 minutes until they are golden and beautiful.
Remove them from the oven and let them cool for a few minutes. While they are still warm, drizzle them with the cream cheese glaze and pour the caramel sauce over the top. Sprinkle chopped pecans on top of everything.