Prepare the donuts: Preheat oven to 350 degrees Fahrenheit. Lightly grease a donut-pan. Set aside.
In a large bowl, whisk pumpkin, sugar, oil, milk, egg, and vanilla until smooth. In a separate bowl, combine flour, baking powder, cinnamon, and salt. Gently fold flour mixture into liquid mixture until just combined.
Place batter in a resealable plastic bag and snip off a corner. Pipe batter into prepared donut pan.
Bake donuts for 10 to 11 minutes, or until a toothpick tests done. Cool donuts in pan 5 minutes, then remove to a wire cooling rack.
Make the cheesecake glaze: Place softened cream cheese in a medium bowl. With an electric mixer, beat on medium speed until creamy. Beat in sugar, vanilla and enough milk to achieve a thick glaze-consistency.
Dip cooled donuts into cheesecake glaze and sprinkle with cinnamon if desired.