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