01 - Whisk warm milk and yeast in a large bowl. Let stand for 5 minutes until foamy.
02 - Add sugar, melted butter, eggs, salt, nutmeg, and cinnamon to the yeast mixture. Mix thoroughly.
03 - Gradually incorporate flour until a soft dough forms. Knead for 8–10 minutes until smooth and elastic.
04 - Place dough in a greased bowl, cover, and let rise in a warm location for 1 hour until doubled.
05 - Beat cream cheese, powdered sugar, and vanilla extract in a medium bowl until smooth and creamy.
06 - Punch down risen dough and roll on a floured surface into a 10x20-inch rectangle.
07 - Spread cream cheese filling evenly over dough, leaving a 1-inch border around edges.
08 - Roll dough tightly from the long side, pinching seam to seal. Form into a ring and pinch ends together.
09 - Place shaped ring on a lined baking sheet. Cover and let rise for 45 minutes.
10 - Preheat oven to 350°F.
11 - Whisk egg and milk together. Brush mixture evenly over the risen cake.
12 - Bake for 25–30 minutes until golden brown. Cool completely on a wire rack.
13 - Whisk powdered sugar, milk, and vanilla extract until smooth and pourable.
14 - Drizzle icing over cooled cake. Immediately sprinkle colored sugars in alternating sections while icing is wet.
15 - Insert a small plastic baby or dried bean into the cake from the underside after baking, if desired.