In a small bowl, add water and yeast. Let it sit until dissolved, 3-5 minutes.
In another large microwave-safe mixing bowl, add sugar, milk, and butter. Microwave for about 30 seconds. Take the bowl out of the microwave and stir until the butter has completely melted. Then add yeast mixture, egg, and vanilla extract, and thoroughly mix.
Next, add salt and the flour a cup at a time. Mix well using clean hands; the dough is going to be sticky. If it's too sticky, add more flour a little at a time, until it reaches the desired consistency. Less flour is better.
Transfer the monkey bread dough onto a lightly floured work surface and knead it for a few minutes. Form dough into a bowl shape, place it in the large mixing bowl, cover loosely with a clean cloth, and let it rise in a warm, draft-free area for 1½-2 hours or until doubled.
While the dough rises, make your cinnamon sugar by combining sugars, cinnamon, and nutmeg. Set aside until ready to use.
Preheat oven to 350℉/177℃, spray a Bundt pan with baking spray, and set aside.
Punch down the dough.
Lightly flour your work surface, then transfer the dough and roll it out to a 1-inch thick rectangle. Generously brush with melted butter. Leaving a 1-inch border on the dough, sprinkle with half of the cinnamon sugar. Pat it gently into the surface. This helps the sugar stick to the dough.
Starting with the end nearest you, roll the dough snugly like a jelly roll around the filling, finish the roll with the seam side down, then pinch the seal so it doesn't come apart when making the rolls.
Slice the roll into 4 equal pieces, then slice each piece into 4 equal pieces for a total of 16 pieces.
Cut individual cinnamon rolls in quarters and roll each to form a small ball. Roll each ball in the other half cinnamon sugar mixture until well coated. Place the sugar-coated dough balls in the prepared Bundt pan. Repeat the process with the rest of the dough. When complete, cover the pan with a clean cloth and let them rise in a warm place for about 30 minutes.
Add the remaining cinnamon sugar to the melted butter and stir until the sugar dissolves. Pour this sugar-butter mixture over the risen cinnamon roll dough in a Bundt pan.
Bake for 20-25 minutes until dough is set in the center or golden. Let the monkey bread rest for about 5 minutes before flipping over the Bundt pan onto a serving platter.
Whip cream cheese, confectioner's sugar, vanilla extract, and 2-3 tablespoons of milk until creamy. Add more milk to get the desired consistency for drizzling.
Pour the cream cheese glaze on the cinnamon bun monkey bread and serve warm.