Preheat oven to 350°. Cut shortening into flour with a fork. Sir in milk. On a floured surface, dump out dough and press together with hands to form a ball. Roll into a rectangle (about 8x10). Spread softened butter over dough, sprinkle 1/4 c sugar and cinnamon over top. Roll up and press together lightly. Slice and place in an 8x8-inch baking dish.
In a saucepan, combine all sauce ingredients and heat over medium heat, stirring constantly, until bubbles just begin to form. Pour milk sauce over rolls. Bake 30 to 40 minutes or until lightly brown. Allow to sit and cool slightly. Great with vanilla ice cream.