Heat milk, vegetable oil, and ½ cup sugar in a medium saucepan over medium heat. Let the mixture get really hot, but remove from heat right before it comes to a boil. Pour milk mixture into a large bowl and let cool to lukewarm.
Sprinkle yeast over milk mixture and let sit for about 1 minute.
Add 4 cups of the flour to the bowl and stir until just combined.
Cover bowl with a clean kitchen towel and set aside in a relatively warm place to rise for an hour.
Remove towel and add 2 Tbsp cinnamon, baking powder, baking soda, salt and remaining ½ cup of flour and stir thoroughly to combine.
Place dough on a lightly floured surface and roll it into a large rectangle, about 30×10 inches.
Melt butter in a small saucepan over medium heat and pour 1 Tbsp of the melted butter into each of two round baking dishes or pie plates (you can also use disposable foil cake pans).
Pour remaining 6 Tbsp melted butter over the surface of the dough and use a pastry brush (or your fingers) to spread the butter evenly. Generously sprinkle brown sugar and remaining 2 Tbsp cinnamon over the butter and top with diced apples and walnuts.
Starting at the long end farthest from you, roll the dough tightly toward you using both hands to roll evenly. Pinch the seams together at ends. Transfer dough to a cutting board and using a sharp knife, cut dough into roughly 1 ½-inch slices.
Place rolls into preparing pans, taking care not to over-crowd the pans. Cover the pans with a kitchen towel for about 20 minutes, so they can rise again. While they're rising, preheat oven to 375 degrees.
Bake rolls for 18-22 minutes, until they're turning golden around the edges. Remove from oven and immediately pour icing over them.