To make the pretzels: combine the water, sugar, yeast, and butter in the bowl of a stand mixer and mix with the dough hook until combined. Let sit for 5 minutes.
Add the salt and 4 1/2 cups flour to the mixture and mix on low speed until combined. Increase the speed to medium and continue kneading until the dough is smooth and begins to pull away from the side of the bowl, about 3 to 4 minutes. If the dough appears too wet, add additional flour, 1 tablespoon at a time. Remove the dough from the bowl, place on a flat surface and knead into a ball with your hands.
Coat a large bowl with canola oil, add the dough and turn to coat with the oil. Cover with a clean towel or plastic wrap and place in a warm spot until the dough doubles in size. This will take about 1 hour.
Preheat the oven to 425 degrees F. Bring the water to a boil in a large pot.
Remove the dough from the bowl and place on a flat surface. Divide the dough into 8 equal pieces. Roll each piece into a long rope. To shape into pretzels, take the right side and cross over to the left. Cross right to left again and flip up. Slowly add the baking soda to the boiling water. Boil the pretzels in the water solution, 2 at a time for 30 seconds, splashing the tops with the warmed water using a spoon. Remove with a large flat slotted spatula or a spider. Place 4 pretzels on each a parchment lined baking sheet, brush the tops with the egg wash and season liberally with sea salt. Bake for 15 to 18 minutes or until pretzels are golden brown.
Remove pretzels from oven and let cool on a wire baking rack.
To make the Buffalo Cheddar Cheese sauce: While pretzels are baking, heat a medium saucepan over medium heat. Add the butter, and once it’s melted and bubbly add the flour. Whisk together to create a roux and cook for 1-2 minutes until mixture gets a bit golden in color. Add milk, stir and turn down heat to low. Continue stirring until milk thickens. Add in cheeses and continue to stir until mixture is smooth. Stir in buffalo wing sauce. Taste and season with salt and pepper.
Pour into one medium size dip bowl or a few bowls to scatter for dipping.
Serve hot with the pretzels!