01 - Whisk warm milk and 1 tablespoon sugar in a small bowl. Sprinkle yeast over the mixture and let stand until foamy, about 5–10 minutes.
02 - Combine flour, remaining sugar, salt, and nutmeg in a large bowl. Add melted butter, eggs, vanilla, lemon zest, and yeast mixture. Mix until a sticky dough forms.
03 - Knead dough by hand or with a mixer using a dough hook for 8–10 minutes until smooth and elastic. Place in a greased bowl, cover, and let rise in a warm place until doubled, about 1–1.5 hours.
04 - Beat cream cheese, powdered sugar, and vanilla until smooth and creamy while dough rises.
05 - Punch down risen dough. On a lightly floured surface, roll into a 10x20 inch rectangle. Spread cream cheese filling along one long edge, leaving a 1-inch border.
06 - Roll up tightly jelly-roll style starting from the filling edge. Pinch seam to seal. Shape into a ring by pinching ends together. Transfer to a parchment-lined baking sheet, seam side down. Cover and let rise until puffy, about 45–60 minutes.
07 - Preheat oven to 350°F. Bake for 25–30 minutes until golden brown. Cool completely on a wire rack.
08 - Whisk powdered sugar, milk, and vanilla until smooth and pourable. Drizzle over cooled cake. Immediately sprinkle with colored sugars in alternating purple, green, and gold sections.