To the bowl of a stand-mixer fitted with the dough hook attachment, combine warm water and yeast.
In a microwave-safe dish, heat milk and butter together until butter is just melted, but not too hot. Add vanilla.
Add flour, sugar, and salt on top of water/yeast mixture in mixing bowl. Turn mixer on low, add eggs, and stream in milk/butter/ mixture gradually until a soft dough forms. Add flour by the tablespoon until the dough pulls away from the sides of the bowl and forms a ball. Turn mixer up to medium speed and knead 3 minutes. Cover and let rise in a warm place 90 minutes.
Meanwhile, in a small bowl mix together the brown sugar, cinnamon, and salt for the filling. Set aside. Prepare your apples and melt butter just before the dough is done rising. Grease a standard 9x5 loaf pan.
Turn risen dough out onto a floured work surface and roll out into a large rectangle (roughly 12x24 inches, but it doesn't need to be perfect). Dough will be rather thin.
Brush dough with melted butter. Sprinkle the entire surface with the cinnamon sugar mixture.
Using a pizza wheel, cut dough into equal-sized, long strips. Sprinkle the first strip with 1/6th of the diced apples. Lay the next strip on top of the first strip. Sprinkle with apples and cover with another strip. Repeat until all the strips are stacked on top of each other.
Cut the stacked strips into 4-6 equal stacks of squares (about 4-5 inches in size). Stack the squares vertically into prepared loaf pan. Cover with a kitchen towel and let rise 30-45 minutes.
Preheat oven to 350. Bake the bread on the middle rack of oven 40-45 minutes or until golden brown and cooked through (check center for doughiness). If the bread gets too brown on top before it is done cooking in the center, cover loosely with foil for the remainder of cooking time.
Cool on a wire rack for 10 minutes. Meanwhile, prepare the glaze by adding the butter, brown sugar and milk to a saucepan over medium heat. Bring to a boil and cook for 1 minute.
Turn loaf out onto a rack with parchment paper underneath it. Drizzle the loaf with the warm caramel glaze.
Best enjoyed the same day it is baked.