01 - Whisk warm milk with 1 tablespoon granulated sugar in a small bowl. Sprinkle yeast over the surface and let stand until foamy, approximately 5-10 minutes.
02 - Combine flour, remaining sugar, salt, and nutmeg in a large bowl. Add melted butter, eggs, vanilla, lemon zest, and activated yeast mixture. Mix until a sticky dough forms.
03 - Knead dough by hand or with a mixer fitted with dough hook for 8-10 minutes until smooth and elastic. Transfer to a greased bowl, cover, and let rise in a warm location until doubled in bulk, about 1-1.5 hours.
04 - Beat cream cheese, powdered sugar, and vanilla extract together until smooth and creamy while dough rises.
05 - Punch down risen dough and roll into a 10x20 inch rectangle on a lightly floured surface. Spread cream cheese filling along one long edge, leaving a 1-inch border. Roll tightly jelly-roll style from the filling edge and pinch seam to seal.
06 - Shape the roll into a ring, pinching ends together securely. Place on 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 before glazing.
08 - Whisk powdered sugar, milk, and vanilla until smooth and pourable. Drizzle glaze over cooled cake and immediately sprinkle with colored sugars in alternating purple, green, and gold sections.