Spray counter lightly with non-stick cooking spray. Roll combined rolls or loaf into a 10x18-inch rectangle. Cover with plastic wrap and let rest.
In a bowl, combine the cheese and powdered sugar. Add the lemon extract and zest and mix well.
Remove wrap from dough and spread filling over all but 1/2-inch along all edges. Brush one long edge with egg. Roll up lengthwise starting with the long edge that has not been brushed with egg. Pinch seam to seal. Form into a ring and pinch ends together to seal.
Place on large sprayed baking sheet and cover with sprayed plastic wrap. Let rise 45-60 minutes.
Remove wrap and bake at 350°F 30-35 minutes. Cover with foil last 15 minutes, if necessary, to prevent over-browning.
Cool completely and then ice with white icing. Decorate with sugar sprinkles as desired..