Place the milk, vanilla extract and butter in a small pan and heat, stirring, until the butter has melted and the mixture is just boiling. Remove from the heat and leave to cool until lukewarm (scalding the milk makes the bread softer).
Place the flour in a large bowl, add the sugar and salt to one side and the yeast to the other, make a well in the middle and add the egg and the lukewarm milk. Stir until it forms a dough then turn out onto an un-floured surface and knead for about 10 minutes until smooth and elastic. Place into a lightly greased bowl, cover and leave to rise in a warm place for an hour or two until doubled in size, or in the fridge overnight.
Lightly grease a 12 hole muffin tin, or if you want to save yourself a difficult washing up job, line it with large muffin liners. Knock back the risen dough and roll it out on a lightly floured surface into a rectangle about 5mm thick.
Chop the marzipan into small cubes (about 1cm). Spread the mincemeat evenly over the dough and sprinkle over the cinnamon. Scatter over the marzipan then roll the dough up tightly from one of the long edges into a log.
Slice off the scraggy end bits then chop the log into 12 even slices. place the slices cut side down in the prepared muffin tin. loosely cover with greased clingfilm and set aside to rise for about 30-45 minutes until puffy.
Meanwhile preheat the oven to 180C/350F/gas mark 4. Bake the buns for about 30 minutes until golden and the internal temperature reaches at least 94C. If the tops start to colour too much before the buns are ready, loosely cover with tin foil partway through baking to prevent them from burning.
Leave the buns to cool in the tin until lukewarm then carefully lift them out and place on a wire rack. Place the icing sugar in a bowl and gradually stir in enough orange juice to form a runny glaze. Drizzle the glaze over the buns and serve. Store in an airtight container.