For the dough: Pulse flour, yeast, and salt in food processor until blended. Add butter and pulse until flour is pale yellow and resembles coarse cornmeal, ten to fifteen 1-second pulses. Turn mixture into large bowl. (To do this by hand: Use large holes on box grater to grate frozen butter into bowl with flour mixture, then rub flour-coated pieces between your fingers until flour mixture turns pale yellow and coarse.).
Beat egg yolks, sour cream, and vanilla in bowl. Using rubber spatula, fold yolk mixture into flour mixture, pressing mixture against sides of bowl to form sticky dough. Divide dough into 2 pieces and flatten each into 4-inch disk. Wrap disks in plastic and refrigerate until well chilled, at least 4 hours or up to 24 hours.
For the filling: Adjust oven racks to upper-middle and lower-middle positions and heat oven to 400 degrees. Line 2 baking sheets with parchment paper. With electric mixer at medium-low speed, beat egg whites in large bowl until frothy, about 1 minute. Increase speed to medium and gradually add sugar until incorporated, about 1 minute. Add vanilla, increase speed to high, and beat until whites hold soft peaks, about 2 minutes. Using rubber spatula, fold in walnuts.
Heavily sprinkle work surface with confectioners' sugar. Working with one piece of dough at a time, form rolls according to photos. Arrange 12 rolls on each baking sheet, spacing them about 2 inches apart. Bake until tops are golden brown and puffed, 15 to 18 minutes, rotating and switching baking sheets halfway through baking time. Serve warm or at room temperature.