Add all filling ingredients to a medium saucepan. Bring to a simmer over moderate heat, stirring constantly until sugar and butter are melted and mixture has thickened. Set aside to cool.
Set aside to cool.
To make the dough
Add flour, sugar, salt, yeast and room temperature egg to the bowl of a stand mixer fitted with a dough hook.
Heat milk on the stove until just steaming (~120 degrees F) then remove from heat, add butter and stir until melted completely.
Allow to cool for a few minutes, then with the mixer on low, pour the liquid slowly into the dry mixture and mix until a soft dough forms. Scrape the sides of the bowl, and continue to mix with the dough hook for about 6-8 minutes, until you have a soft smooth dough.
Form dough into a smooth ball, and place in an oiled bowl. Cover with plastic wrap and a towel and let rise for 45-60 minutes, or until doubled in size.
Assembly & Baking
Turn dough onto a lightly floured surface and roll out into a rectangle that is loosely 14" wide and 10" tall, and just slightly less than 1/2 inch thick.
Spread cherry filling over the dough in an even layer and roll into a log, starting from the top of the dough and working toward yourself. Some filling may spill out -- that's ok!
Prepare a baking sheet by lining it with parchment paper or a silicone mat.
Turn the log a quarter turn so that it's lying vertically on the counter. Using a very sharp knife or a metal bench scraper, cut the log in half lengthwise so you have two long strands. There will be cherry filling everywhere, and this part gets messy so don't worry!
Twist the first strand two or three times, and lay in the shape of a C on the prepared baking sheet. Then twist the second strand in the same way, placing it in a backwards C to make a complete circle, overlapping and gently pressing the ends together. Tuck as much of the spilled cherry filling back into the folds of the dough as you can manage, and sprinkle some whole cherries on the top of the dough as well.
For a better-formed circle, or to prevent more filling spillage, you can place a drinking glass in the center of the ring while the dough rises. Gently cover with plastic wrap and let rise for ~30 minutes while you preheat your oven to 400 degrees F.
Uncover and bake in the preheated oven for 20-25 minutes, until the bread is golden brown and completely set.
While the bread is cooling, whisk together the icing ingredients, adding sugar or milk as needed to achieve a good consistency for drizzling.
Cool the bread for ~20 minutes, then drizzle with the icing, cut, and enjoy!