Step 1Heat milk in small saucepan over medium heat until milk is lukewarm to touch and bubbles around edges, 2 minutes; do not let boil. Remove from heat and stir in butter, sugar and salt. Stir occasionally until mixture reaches room temperature.
Step 2Dissolve yeast in lukewarm water. Combine with milk mixture.
Step 3Transfer mixture to large bowl and gradually sift in 3 cups flour, stirring until combined. Beat well 5 minutes. Place dough in greased bowl, cover with dishcloth and let rise in warm area until doubled in size, 1 hour 15 minutes.
Step 4Sift in remaining 2 1/2 cups flour. Turn out on floured board and knead briefly until smooth and elastic. Return dough to bowl and let rise until doubled in size, 1 hour 15 minutes.
Step 5Pat dough out on floured board 3/4-inch thick and cut 10 to 12 rolls with 2 1/2-inch biscuit cutter. Shape remaining dough together and pat out again; cut as many more rolls as you can. Set rolls on greased baking sheet. Using sharp knife, score top of edge roll lengthwise.
Step 6Trim orange segments, slicing in half, if necessary, to make 1x1/2-inch segments. Place 1 piece in center of each roll, gently closing seam back over orange by pressing 2 sides together. Press down firmly on top of each roll.
Step 1Cream butter on medium speed until fluffy, 1 minute. Add sugar and beat until smooth, 2 minutes. Add zest and combine well. Set aside.
Step 2Bake rolls at 400 degrees 8 minutes. Remove from oven and spoon 1/2 teaspoon butter mixture inside each roll (seams will have split during baking). Return rolls to oven and bake until golden, 7 to 12 more minutes. Let cool slightly, then brush tops with remaining orange-butter.