In a small saucepan, warm the milk over low heat until lukewarm.
Pour the warm milk into the bowl of a stand electric mixer fitted with the dough hook attachment and manually stir in the sugar and yeast. Cover with a towel and let stand until the yeast is foamy, about 5-10 minutes.
Add the softened butter, eggs and salt. Scrape down the sides and manually stir as needed. Chunks of butter will remain.
Gradually add the flour and beat at medium speed until a soft dough forms.
Increase speed to medium-high and beat until the dough is soft and supple, about 6 minutes longer.
Transfer the dough to a lightly floured surface and knead it with your hands for about 2 minutes.
Form the dough into a ball and transfer it to a lightly greased bowl. Cover the dough and let sit in a warm place until doubled in size, 1-2 hours.
Line the bottom of a 9x13 inch baking dish with parchment paper, leaving room on the sides. Turn the dough out onto a lightly floured work surface and, using a rolling pin, roll into a 10x24 inch rectangle. Make sure the dough is smooth and evenly thick, even at the corners.
In a small bowl, combine the cake mix and the sprinkles, stirring with a fork.
Spread dough with softened butter and sprinkle with cinnamon. Sprinkle the cake mixture over the top.
Tightly roll up the dough to form a 24-inch-long log. Cut into 15 even rolls, about 1.5 inches in width each. Arrange them in the prepared baking pan, cut sides up. Cover the rolls and let them rise in a warm place until they are puffy, about 2 hours.
Preheat the oven to 400 degrees F. Cover the rolls with aluminum foil and bake for about 25 minutes, until they are golden.
Transfer the pan to a rack to cool for about 15 minutes.
For the glaze, in a small bowl, whisk the powdered sugar, heavy cream and vanilla until smooth. Add more sugar or cream, depending how thick you want the glaze. Pour glaze over the rolls and serve warm.