In a large mixing bowl, whisk together the all-purpose flour, granulated sugar, instant yeast, and salt until well combined. Gradually add the warm milk (around 110°F), large egg, and softened butter. Stir until a soft dough forms.

Transfer the dough onto a floured surface and knead for 8-10 minutes until smooth and elastic.

Place the kneaded dough in a greased bowl, cover, and let it rise in a warm place for about 1 hour until doubled in size.

Prepare the cheesecake filling by beating the cream cheese, powdered sugar, vanilla extract, and egg yolk together until smooth. Refrigerate to firm up.

In a saucepan, combine the blueberries, sugar, and lemon juice. Cook for 5-7 minutes, then thicken with cornstarch slurry and cook for another 2-3 minutes.

Punch down the risen dough and divide into 10-12 pieces. Shape each into a smooth ball and create an indent in the center.

Fill each dough ball with cheesecake filling and a dollop of blueberry compote. Optionally sprinkle with crumble topping.

Preheat the oven to 350°F. Brush the tops with melted butter or egg wash and bake for 18-22 minutes until golden brown.

Let the buns cool on a wire rack for 10-15 minutes and dust with powdered sugar before serving.