Gather and measure all ingredients before starting.
Add flour, warm water, sugar, whole egg, egg white, butter, yeast, milk powder, and salt into the bread maker. Start the dough cycle.
When about 5 minutes of kneading remain, add the currants and cinnamon. Allow the dough to continue mixing and then rise in the machine until doubled in size, approximately 1 hour.
Transfer the dough onto a lightly floured surface. Punch it down, cover, and let it rest for 10 minutes.
Divide the dough into 12 equal portions and shape each into a ball. Place them into a greased 9×12-inch baking pan.
Cover the pan and let the dough rise in a warm place until doubled, about 35 to 40 minutes. Meanwhile, preheat the oven to 375°F (190°C).
In a small bowl, mix the egg yolk with 2 tablespoons of water. Brush this mixture over the risen dough.
Bake in the preheated oven for about 20 minutes, or until the buns turn golden brown. Remove immediately from the pan and cool on a wire rack.
Prepare the glaze by mixing confectioners' sugar, milk, and vanilla extract until smooth.
Transfer the glaze into a piping bag (or sandwich bag with a small corner cut) and pipe a cross onto each cooled bun.
Serve and enjoy.