In a stand mixer bowl, add the warm water. Sprinkle the yeast and about 1 teaspoon of the sugar. Let this sit for about 5 minutes, or until foamy.
Add the milk, the remaining sugar, eggs, softened, butter, salt, cocoa powder, and red food coloring. Stir well.
Add 2 cups of flour, and using a dough hook, beat the mixture until combined. Gradually add the remaining 2 1/4 cups of flour in 1/2 cup increments and continue beating to combine. If the dough is still too wet, add a few tablespoons of the reserved flour just until the dough gathers into a shaggy mass.
Turn the dough over on a lightly-oiled surface and sprinkle dough with a little flour. Lightly grease hands and knead the dough the dough until smooth, elastic and has lost a lot of its stickiness.
Place the dough in a lightly oiled bowl. Cover the bowl with a clean towel or plastic wrap and let rise for 1 /2 to 2 hours, or until doubled in size.
Meanwhile, make the cream cheese filling. In a mixing bowl, briefly beat the cream cheese just until fluffy.
Add the powdered sugar and vanilla and beat just until incorporated and lump-free. Cover and keep refrigerated until ready to use.
Once risen, gently deflate the dough. On a flat surface, shape the dough into a log about 20-inch long. Divide the dough in half. Shape and elongate each half into 12 inches long. Divide each log into 12, yielding 24 equal dough portions.
With the palm of hands, flatten each dough and spoon about 1/2 tablespoon of the filling in the center. Fold the edges of the dough towards the center to cover the filling, and shape into a smooth ball. Tuck the ends under to seal.
Roll the dough ball in bread crumbs and arrange in a single layer at an inch apart on a parchment-lined baking sheet.
Cover the pan loosely with a kitchen towel and allow to rise for 40 to 50 minutes, or until puffy and doubled in size.
Bake in a preheated 350 F oven for 20 to 23 minutes, or until the crumbs are golden.
Remove from oven and allow to slightly cool as the filling may be very hot.