In a large bowl, combine 2-1/2 cups flour, sugar, yeast, and salt. In a small saucepan, heat milk and butter to 120°-130°. Add to dry ingredients; beat just until moistened. Add egg; beat until smooth. Stir in enough remaining flour to form a firm dough. Cover and let rest for 15 minutes.
Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Divide dough in half. Roll each into a 12-in. circle. Brush with melted butter. Combine the coconut, sugar and orange zest; sprinkle over dough. Cut each circle into 12 wedges. Roll up wedges from the wide ends and place point side down 2 in. apart on greased baking sheets. Curve ends to form crescents. Cover and let rise until doubled, about 30 minutes.
Bake at 375° for 12-16 minutes or until golden brown. Remove from pans to wire rack to cool. For glaze, combine the confectioners' sugar and enough orange juice to achieve desired consistency. Drizzle over warm rolls.