Warm the whole milk until slightly warmer than body temperature. Combine with granulated sugar in a bowl and whisk until dissolved. Add instant dry yeast and let it sit for about five minutes until bubbly.

Mix in softened butter and egg until combined. Gradually add flour, brown sugar, cocoa powder, cinnamon, and salt; stir gently to form dough.

Knead the dough on a lightly floured surface for about 8-10 minutes until smooth and elastic. Place in a greased bowl, cover with plastic wrap, and let rise for about 1 to 1.5 hours or until doubled in size.

Punch down the risen dough and roll it out into a rectangle (16x12 inches). Spread softened butter over it, sprinkle with brown sugar mixture and crushed Oreos.

Roll tightly from one long edge to the other and slice into rolls (about 9 pieces). Place rolls cut-side up in a greased baking dish and let them rise for another 30 minutes.

Preheat oven to 350°F (175°C). Bake for approximately 25-28 minutes until golden brown.

For the glaze: combine powdered sugar with milk and vanilla extract; drizzle over warm rolls before serving.