In a small bowl, dissolve yeast in warm milk. In a large bowl, combine flour, sugar and salt. Cut in butter until crumbly. Add yeast mixture, cream and egg yolks; stir until mixture forms a soft dough (dough will be sticky). Refrigerate, covered, overnight.
Punch down dough. Turn onto a lightly floured surface; divide into 4 portions. Roll each portion into an 18x4-in. rectangle; cut into 4x1-in. strips.
Place 2 strips side by side; twist together. Shape into a ring and pinch ends together. Place 2 in. apart on greased baking sheets. Repeat with remaining strips. Cover with kitchen towels; let rise in a warm place until doubled, about 45 minutes.
Preheat oven to 350°. Using the end of a wooden spoon handle, make a 1/2-in.-deep indentation in the center of each Danish. Fill each with about 1 tablespoon pie filling. Bake 14-16 minutes or until lightly browned. Remove from pans to wire racks to cool.
For icing, in a bowl, beat confectioners' sugar, butter, vanilla, salt and enough cream to reach desired consistency. Drizzle over Danish.