Activate the yeast. Combine the warm milk, yeast, sugar, and 2 tablespoons of flour in a large mixing bowl. Stir and let stand for 5–10 minutes, until foamy.
Make the dough. Add the egg and oil. Gradually mix in the remaining flour and salt until a soft dough forms.
Knead. Knead by hand for about 8–10 minutes, or until smooth and elastic. The dough should remain soft and slightly tacky; avoid adding excessive flour.
Let rise. Cover the bowl and leave in a warm, draft-free place for about 1 hour, or until doubled in size.
Fill the rolls. Transfer the dough to a lightly floured surface. Roll out and divide into 25 roughly equal portions. Place a piece of cheese in the center of each portion, fold the dough around it, and pinch firmly to seal. Shape into balls.
Arrange the tree. Line a large baking sheet with parchment paper. Place the rolls seam-side down in six rows of 1, 2, 3, 4, 5, and 6 rolls. Use the remaining 4 rolls to form a trunk in two rows of two. Leave small gaps between the rolls.
Brush and bake. Preheat the oven to 400°F (200°C). Brush the rolls with half the melted butter. Bake for about 25 minutes, until golden brown and baked through. If the tops brown too quickly, cover loosely with foil.
Finish and serve. Brush with the remaining melted butter and sprinkle with chives and Parmesan. Let cool briefly, then serve warm.