This question still pops into my head when I bite into a sausage roll with sweet and milky bread surrounding it. When I first moved to Japan it was an almost daily question – one that expanded in geographical reach when I went back to Thailand on holiday and suddenly remembered having the exact same reaction to almost exactly the same kind of bread when I lived there in the late 90s.
And it was in a book on Thai popular culture that I found the answer. The bread was brought to Asia by the Portuguese back in the late 16th century when they dominated the area. One reason for it then remaining popular was probably what I first thought was the reason, the general lack of a clear black and white distinction between savoury and sweet in Asian cultures (and one could argue a dislike of Western-style black and white distinctions more generally).
Older answer to this here.