Preheat the oven to 375 degrees F. Line a sheet pan with waxed paper. In a mixer fitted with a paddle attachment (or using a hand mixer), cream the cream cheese until soft and smooth. Add the egg yolk and mix. Add the confectioners' sugar, the vanilla and cinnamon and mix. Add the chocolate and mix just until incorporated. Spoon the mixture into a pastry bag fitted with a large plain tip (or just set aside in a bowl).
Transfer 1 sheet of phyllo to the prepared pan. Using a pastry brush, brush the phyllo with melted butter. Sprinkle evenly with 1 tablespoon of the granulated sugar and 3 tablespoons of the ground walnuts, and lay another sheet of phyllo on top. Brush the top with melted butter and sprinkle with 1 tablespoon of sugar and 3 tablespoons of walnuts. Repeat with third sheet of phyllo. Reserve the remaining melted butter, sugar, and walnuts.
Pipe half the cheese filling in a line along one short end of the phyllo, leaving a 2-inch margin on the top, bottom, and side. Arrange the whole bananas next to the cheese. Pipe the remaining filling next to the bananas. Starting at the filled end, roll the phyllo up tightly to encase the filling. Move the log to the center of the sheet pan and tuck the ends under to keep the filling from oozing out. Brush the surface with melted butter and sprinkle with 1 tablespoon of sugar. You may not use up all the melted butter and walnuts.
Bake until golden brown, about 30 minutes. Let cool 10 to 15 minutes on the pan. Using a serrated knife, cut carefully into sections and serve warm.