In a large bowl, dissolve yeast in warm milk. Add the sugar, salt, butter, sour cream, egg substitute and mix well. Add 3 cups flour. Beat on medium speed for 3 minutes. Beat until smooth. Stir in enough remaining flour to form a soft dough (dough will be sticky).
Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1 hour.
Meanwhile, in a large saucepan, combine the sugar, butter, egg substitute, vanilla and cinnamon. Cook and stir over medium heat until mixture reaches 160° or is thick enough to coat the back of a metal spoon. Remove from the heat; gently stir in walnuts and apple. Cool completely.
Punch dough down. Turn onto a lightly floured surface; divide into four portions. Roll each into a 12-in. x 10-in. rectangle. Spread filling to within 1/2 in. of edges. Roll up jelly-roll style,
starting with a long side; pinch seams to seal. Place seam side down on parchment lined baking sheets. Cover and let rise until doubled, about 30 minutes.
Bake at 350° for 30-40 minutes or until lightly browned. Remove from pans to wire racks to cool.