Dough: Combine ingredients with electric mixer fitted with paddle on low speed; stop and scrape bowl. Mix on medium speed 5 min. Transfer dough to lightly oiled bowl; turn to coat. Cover and let rise in warm place 1-1/2 hours or until doubled in size.
Filling: Meanwhile, add all ingredients, except OREO Pieces, to bowl of mixer fitted with paddle. Blend on low speed until creamy, scraping bowl occasionally. Set aside until ready to use.
Roll out proofed dough on lightly floured surface to 24x14-inch rectangle, keeping long edge parallel with surface. Spread Filling onto dough to within 1/2 inch of the top edge. Moisten top edge with water. Sprinkle OREO Pieces over Filling. Roll up, starting at bottom edge, pressing seam to seal. Cut crosswise into 24 slices, each about 1-inch thick.
Arrange, cut sides up, in 3x4 pattern on each of 2 parchment paper-lined full sheet pans. Cover with towels and let rise 1 hour or until doubled in size.
Bake in 375°F standard oven 20 to 23 min. or until light golden brown. Cool in pans on wire racks 5 min. or until cool enough to handle.
Icing: Mix all ingredients, except OREO Pieces, until smooth.
Dip tops of each roll halfway into Icing, allowing excess to drip off. Place on clean parchment paper-lined pans. Sprinkle with OREO Pieces. Let Icing set before serving.