In a large microwave-safe bowl, heat milk for 30-40 seconds, until the milk is lukewarm. Add in yeast and sugar and stir with a whisk until dissolved. Cover with a clean dish towel and let the yeast proof for 10 minutes.
While your yeast is proofing, combine the filling ingredients; softened butter, sugars, cinnamon, pumpkin puree, pumpkin spice, and vanilla in a medium mixing bowl. Set aside.
Add in salt and flour, 1 cup at a time. Knead it slightly until the dough forms a ball. Cover the bowl with a clean towel or plastic wrap. Rest the dough for 10 minutes.
Preheat the oven to 350 degrees Fahrenheit. Drizzle the tops of the rolls with heavy cream. Bake for 24-26 minutes until the tops are slightly golden brown.
Add softened cream cheese, powdered sugar, vanilla extract, and a pinch of salt to a medium-sized bowl. Mix with a hand mixer until combined and smooth.