In the bowl of a stand mixer, stir together warm milk and yeast by hand. Let stand until mixture is foamy, about 5 minutes. Add egg and melted butter, stirring until combined.
In a medium bowl, stir together flour, granulated sugar, and salt. Add half of flour mixture to yeast mixture; using the paddle attachment, beat at low speed until combined, about 30 seconds. Add remaining flour mixture, and beat until combined, about 30 seconds.
Switch to the dough hook attachment. Beat at low speed until dough is smooth and elastic and pulls away from sides and bottom of bowl, about 5 minutes. Turn out dough onto a lightly floured surface, and shape into a smooth round.
Spray a medium bowl with cooking spray. Place dough in bowl, turning to grease top. Cover and let rise in a warm, draft-free place (75°F/24°C) until doubled in size, about 1 hour.
Punch down dough, and turn out onto a lightly floured surface. Roll into a 15×10-inch oval, and place on parchment paper. Using a small knife or bench scraper, score (or mark) a rectangle on dough, leaving 2 inches on short sides and 3 inches on long sides. Spread Concord Grape Fruit Spread within scored rectangle, leaving a ¼-inch border on all sides.
Carefully spoon Cream Cheese Filling into a pastry bag, and cut a ½-inch opening in tip. Pipe all on top of fruit spread, and carefully spread with a small offset spatula.
Cut 1-inch-wide strips along each side of filling. At top and bottom, trim ends to width of filling, and fold over filling. Starting on left side, fold top strip over filling, ending just below opposite strip, pressing end of strip into bottom of other and pinching together. Repeat with top strip on right side. Continue pattern, alternating left and right, until you reach end of strips. Tuck and pinch last strip. Transfer parchment and dough to a baking sheet. Cover and let rise in a warm, draft-free place (75°F/24°C) until puffed, about 45 minutes.
Preheat oven to 350°F (180°C).
In a small bowl, whisk together reserved half of cold egg (25 grams) from Cream Cheese Filling and 1 tablespoon (15 grams) water. Brush egg wash on top and sides of loaf. Sprinkle with turbinado sugar.
Bake until golden brown and an instant-read thermometer inserted in center of bread (not filling) registers 190°F (88°C), 25 to 30 minutes. Let cool completely before serving. Refrigerate in an airtight container for up to 5 days