For the syrup: bring all the ingredients to a boil, simmer for 5 minutes and set aside to cool completely.
For the dough: in the bowl of a stand mixer fitted with the dough hook, add the flour, yeast and sugar. Mix together and add the eggs, milk, vanilla extract and lemon zest and mix on medium speed for about 2 minutes until it forms a uniform mixture.
Add the cubed butter gradually one after another and knead for another 10 minutes until it forms a smooth and slightly sticky dough. Add the salt and knead for another minute.
Remove the dough from the mixer, transfer to a floured bowl, cover with cling film and refrigerate for at least 4 hours.
For the cheese filling: in the bowl of a stand mixer fitted with the beating blade add the cheese, sugar, sifted corn starch, lemon zest and vanilla. Add the egg and mix until it forms a smooth mixture.
If needed, refrigerate or freeze the filling to firm it up.
Divide the dough into 2, and roll each to 20cmx35cm. Cut strips into two of the sides for braiding.
Place half the filling into the centre of each cake, and fold the cut strips from the sides over the top to form a braid, pressing down firmly to seal.
Brush with a beaten egg and bake at 170°C for about 30 minutes.
Immediately upon taking the cake out of the oven, brush with the sugar syrup.