01 - Combine warm milk and yeast in a small bowl. Let stand for 5 minutes until mixture becomes foamy, indicating the yeast is active.
02 - In a large mixing bowl, beat softened butter and granulated sugar until light and fluffy. Add eggs one at a time, mixing thoroughly after each addition. Incorporate salt, nutmeg, vanilla extract, and lemon zest.
03 - Pour the activated yeast mixture into the butter mixture. Gradually add flour, mixing until combined. Knead dough for 8 minutes by hand or 5 minutes with a stand mixer fitted with a dough hook until smooth and elastic.
04 - Place dough in a greased bowl, turning once to coat all surfaces. Cover with plastic wrap or a clean towel and let rise in a warm, draft-free area until doubled in size, approximately 1 hour 30 minutes.
05 - While dough rises, combine brown sugar and ground cinnamon in a small bowl. Set aside with melted butter for assembly.
06 - Punch down risen dough and roll out on a lightly floured surface to a 10x20-inch rectangle. Brush surface evenly with melted butter, then sprinkle cinnamon-sugar mixture across the entire surface.
07 - Starting from a long side, roll dough tightly into a log. Pinch seam firmly to seal. Transfer log to a parchment-lined baking sheet and shape into a ring, pinching ends together securely. Optionally tuck plastic baby into dough from underneath at this point.
08 - Cover ring loosely with plastic wrap or towel. Let rise in a warm place until puffy and noticeably increased in size, 30-45 minutes.
09 - Preheat oven to 350°F. Bake for 25-30 minutes until golden brown and cooked through. Transfer to wire rack and cool completely before icing.
10 - Whisk together powdered sugar, 2 tablespoons milk, vanilla extract, and pinch of salt until smooth and pourable. Add additional milk if needed to reach desired consistency.
11 - Drizzle icing over completely cooled cake. Immediately sprinkle with colored sugars in alternating sections of purple, green, and gold while icing is still wet.