Sprinkle yeast over water in a large bowl. Combine milk and butter in a microwave-safe container and heat on HIGH (100%) for about 1 minute, until temperature reaches 100°F to 110°F. Add to yeast mixture. Add pudding mix, sugar, salt and egg and beat until well mixed. Gradually add flour, 1 cup at a time until a soft dough forms. Turn out on well floured surface and knead for 8 to 10 minutes, or until smooth and elastic. Place dough in greased bowl and turn to coat. Cover and let rise for 1-1/2 hours or until doubled in bulk.
For filling, combine powdered sugar and pecans in a food processor. Pulse until pecans are finely chopped. Set aside.
Turn dough onto lightly floured surface and roll out to a 22 x 12-inch rectangle. Drizzle melted butter over the dough. Spread the nut filling over half the dough lengthwise, lightly pressing into the dough. Fold dough over and seal edges. Cut into 12 slices. Twist each slice, loosely tie into a knot, and tuck ends into center. Place 10 rolls in a circle on greased or parchment lined pizza pan or baking sheet. Place the remaining two rolls in the center. Press indentation in center of each roll with thumb. Place 1 teaspoon jam in each indentation. Cover and let rise 30 minutes.
Bake at 350°F for 25 to 30 minutes or until lightly browned. Cool 10 minutes on pan. Remove carefully to a cooling rack. Stir together powdered sugar and orange juice for glaze; drizzle over rolls. Cut strips from chewy fruit roll and form into loops. Place a "ribbon" on each roll.