In a small bowl, whisk warm milk with 1 tsp sugar and the yeast. Let sit 5–10 minutes until foamy; it should smell fresh and slightly yeasty.

In a large bowl, combine flour, remaining sugar, and salt. Add eggs, softened butter, and yeast mixture. Mix until a shaggy dough forms, then knead on a floured surface for 8–10 minutes until smooth and elastic. The dough should feel slightly tacky but not sticky.

Place dough in a lightly oiled bowl, cover with a damp towel, and let rise in a warm spot until doubled, about 1–1.5 hours.

Beat cream cheese, powdered sugar, egg yolk, vanilla, and orange zest until creamy and smooth.

Punch down dough and roll into a 12x18-inch rectangle on a floured surface. Brush the melted butter across the dough, then sprinkle evenly with brown sugar and cinnamon. Drop dollops of cream cheese filling down the center in a long line.

Fold the long edges of the dough over the cream cheese, sealing the edges. Shape into a ring, pinching the ends together.

Cover and let the ring rise 30–45 minutes until puffy.

Preheat oven to 350°F (175°C). Bake the cake 20–25 minutes until golden brown and a skewer inserted into the dough (not the filling) comes out clean.

Let the cake cool slightly. Whisk powdered sugar with milk to a pourable glaze and drizzle over the ring. Sprinkle with colored sanding sugar.

Slice and enjoy warm or at room temperature.