In a large mixing bowl, combine the warm milk, granulated sugar, and active dry yeast. Let it sit for about 5-10 minutes until it becomes frothy.

Add the softened butter, eggs, and salt to the yeast mixture. Mix well until combined.

Gradually add the all-purpose flour, one cup at a time, mixing until a soft dough forms. Knead the dough on a floured surface for about 5-7 minutes until it is smooth and elastic.

Place the dough in a lightly greased bowl, cover it with a damp cloth, and let it rise in a warm place for about 1 to 1.5 hours, or until it has doubled in size.

While the dough is rising, prepare the cheesecake filling. In a mixing bowl, combine the softened cream cheese, powdered sugar, and vanilla extract. Mix until smooth and creamy. Set aside.

Once the dough has risen, punch it down and roll it out on a floured surface to about 1/2 inch thick. Cut out circles using a doughnut cutter or two round cookie cutters.

Place half of the doughnut circles on a parchment-lined baking sheet. Spoon a small dollop of the cheesecake filling into the center of each circle, then top with another doughnut circle. Seal the edges gently to ensure the filling doesn't leak out during frying.

Cover the filled doughnuts with a cloth and let them rise for another 30 minutes.

Meanwhile, heat vegetable oil in a deep fryer or large pot to 350°F (175°C).

Carefully fry the doughnuts in batches, about 2-3 minutes per side, until they are golden brown. Remove them from the oil and place them on paper towels to drain excess oil.

While the doughnuts are still warm, roll them in graham cracker crumbs and dust with powdered sugar if desired.

To serve, pipe blueberry preserves into the center of each doughnut and top with fresh blueberries.