Adapted only slightly from Set for the Holidays, by Anna Olson
To make the dough, combine the flour, sugar, yeast and salt together in a large bowl. Melt the butter in a small saucepan over medium heat and pour the milk over it, letting it warm up to just above body temperature.
Pour the liquid over the flour mixture, add the egg and mix on low speed until the dough comes together. Increase the speed by 1 level and knead until the dough springs back when touched, about 4 minutes. (If mixing by hand, stir the dough with a wooden spoon until it becomes too difficult and then turn it out onto the counter to knead by hand for 6 minutes or until elastic, adding as little extra flour as possible as you go.)
Place the dough in a bowl, cover with plastic wrap and let rise on the counter until doubled in size, about 90 minutes. Meanwhile, make the filling: beat the butter by hand to soften it, and stir in the raspberry jam, vanilla and cinnamon.
Generously grease a 12-inch ovenproof skillet, or a 10-inch (25-cm) or 12-inch (30-cm) round baking pan. Turn the risen dough out onto a lightly floured surface and roll it into a rectangle about 20 × 10 inches.
Spread the raspberry filling evenly over the dough and sprinkle the frozen raspberries on top. Starting at a long side, roll up the dough. Cut the roll in half widthwise, and then cut each piece in half lengthwise so you have 4 pieces, with the jam now exposed.
Hold the first piece by the 2 short ends and twist them in opposite directions. Lay the twisted dough in the pan, with 1 end in the centre. Wrap the dough around the centre end in a spiral, working your way from the centre out toward the sides of the pan. Repeat with the 3 remaining pieces of dough, gradually enlarging the spiral so that it fills the pan—any spaces will fill in as the dough rises. Cover the pan with a tea towel and let the dough rise again at room temperature until almost doubled, 45 minutes.
Preheat the oven to 350°F (180°C). Uncover the pan and bake until the wreath is an even golden brown, about 40 minutes. Let cool completely in the pan on a wire rack before glazing. Whisk the icing sugar and milk together and drizzle over the wreath. Serve the wreath either directly from the pan or transfer it to a cutting board and slice it into wedges to serve.