To make the dough:

1. Preheat the oven to 425°F.
2. In a large mixing bowl, combine flour, sugar, baking powder, and then salt. Combine until fully mixed. Next, add in milk.
3. Knead on a floured surface for about 4 to 6 minutes, or until dough is smooth and slightly elastic in texture. Let rest in a bowl for 30 minutes.

Assemble the dough:

1. Divide the dough into 4 equal pieces. Roll each piece into a roughly 16-inch rope.
2. Line 2 baking sheets with parchment paper.
3. Cut each dough rope into roughly 1-inch pieces. Arrange the pieces on the lined baking sheets and brush with egg.
4. Place in the oven and bake for 12 to 15 minutes, or until golden brown.
5. Remove the pretzel bites from the oven, and allow to cool.

Make the cinnamon sugar:

1. While the pretzel bites are baking, mix together the cinnamon and sugar in a small bowl.
2. Brush the cooled pretzel bites with melted butter, and use a spoon to roll them in the cinnamon sugar mixture until coated.

Make the icing:

1. Mix powdered sugar and milk, 1 tablespoon at a time. Mixture will thicken as you mix.