Stir milk and yeast together in a bowl until smooth. Set aside until foamy, about 10 minutes.

Preheat the oven to 350 degrees F (175 degrees C). Line a baking sheet with parchment paper.

Combine flour, butter, sour cream, sugar, eggs, and egg yolks in a large bowl. Stir in yeast mixture. Mix well using an electric mixer at first, then using your hands.

Turn out dough onto a floured work surface and knead until smooth, adding more flour, 1 tablespoon at a time, if dough is sticking to your hands. Form dough into a long log and cut into 1 1/2-inch rounds. Cover rounds with a cloth.

Roll each round of dough into a thin circle. Cut the circle into six triangles, as you would a pizza. Place 1 teaspoon jam at the wider end of each triangle, then roll up like a croissant. Place on the prepared baking sheet. Repeat until all the dough is used up.

Bake in the preheated oven until rogaliki have risen and are golden brown, about 20 minutes. Remove from oven and cool completely, about 30 minutes.

Place confectioners' sugar in a bowl and stir in water, 1 tablespoon at a time, until a drizzling consistency is reached. Drizzle icing over cooled rogaliki.