In a large mixing bowl add the warm milk, sourdough discard and the egg and mix on low speed using the dough blade of your stand or hand mixer.
Then add half the flour and mix followed by the salt and butter and the remaining flour. Continue to mix till you have a soft ball of dough. Place the dough in a lightly greased bowl, cover and rest in a warm place for 1 hour till the dough has doubled.
While the dough is rising, preheat the oven to 180℃. Place the beetroot and unpeeled garlic on a piece of foil, drizzle with a little olive oil, wrap the foil to close the parcel and roast in the oven for 30 minutes.
Cool the beetroot, peel the garlic, place in a food processor with the fennel, cinnamon and lemon juice and whizz. Add the cheeses and process till you have a smooth and creamy filling. Mix in the chopped walnuts.
Place the risen ball of dough on a lightly floured surface and punch down the dough. Roll it out into a 8"x 6" rectangle. Spoon the filling and spread it evenly all over, keeping 1-inch away from the edges of the rectangle.
With the longer end down on your side, roll the dough to form a log. Tuck in the sides and pinch the seam to seal the bottom. Use a sharp knife or kitchen twine to cut the log into 1-inch thick rolls. You should get 7 or 8 rolls.
Lightly grease an 8-inch round cake tin.
Place the rolls to fit into the prepared pan. Cover and leave in a warm place to rise for 45 mins.
Preheat the oven to 176℃ and bake the rolls for 25-30 mins till they're golden and cooked.
Rest the rolls in the pan for 15 mins and the unmold and cool on a wire rack.