Make the Dough: In a large bowl, whisk together all the dry ingredients. Add the butter, vanilla, egg, and milk, mixing until a shaggy dough forms. If possible, let the dough rest for 30 minutes to fully absorb the liquid, making it easier to knead.
Knead the Dough: Knead the dough until it’s smooth and soft, though still slightly sticky. Place it in a greased bowl, turning to coat. Cover and let it rise until almost doubled in bulk, about 1 1/2 to 2 hours. The time will vary based on room temperature; a cooler rise gives the bread better flavor.
Prepare the Filling: While the dough is rising, make the filling. If using cornstarch, toss the grated apple with lemon juice in a saucepan. Whisk together the sugar, cornstarch, salt, and cinnamon, and stir into the apple mixture. Cook over low heat until the apple starts to release its juice. Increase heat to medium, simmering until the mixture thickens. Remove from heat and cool to room temperature. If using Instant ClearJel, mix the sugar, ClearJel, salt, and cinnamon. Toss the grated apple with lemon juice, then mix with the sugar mixture. Set aside.
Assemble the Loaf: Gently deflate the risen dough and turn it onto a lightly floured or greased work surface. Divide the dough in half. Roll each half into a 10″ x 12″ rectangle. Spread half the filling over each rectangle, leaving a 1/2″ margin around the edges. Sprinkle with nuts if desired. Starting with a long side, roll the dough into a log, sealing the edge. Cut each log in half lengthwise, exposing the filling. Place the halves side by side, filling side up, and twist them together. Repeat with the second piece of dough. Place the twists on a well-greased or parchment-lined baking sheet, cover, and let rise for 1 to 2 hours until puffy.
Bake the Bread: Preheat the oven to 350°F (175°C). Bake the loaves for 30 to 40 minutes until lightly browned. Check after 20 minutes and tent with aluminum foil if browning too quickly. The loaves are done when a thermometer inserted into the bread (not the filling) reads about 190°F (88°C). Remove from the oven and let cool for about 1 hour before glazing.
Make the Glaze: Mix all the glaze ingredients together. Drizzle over the cooled loaves.
Serve and Store: Enjoy the bread fresh, or store it loosely covered at room temperature for several days. For longer storage, freeze the unglazed bread, and glaze it after thawing.