Combine warm milk, yeast, and 1 tsp sugar. Let sit 5-10 minutes until foamy.
Mix yeast mixture with melted butter, ¼ cup sugar, eggs, and vanilla in stand mixer.
Add flour, salt, and nutmeg. Knead with dough hook for 6-8 minutes until smooth.
Place in greased bowl, cover, and let rise 1½ hours until doubled.
Mix brown sugar and cinnamon for filling. Melt 4 Tbsp butter.
Roll dough into 22x12-inch rectangle. Brush with butter and sprinkle with cinnamon sugar.
Roll tightly from long side, pinch seam. Form into ring and seal ends.
Place on parchment-lined baking sheet. Cover and rise 30-45 minutes.
Bake at 350°F for 25-30 minutes until golden brown. Cool completely.
Mix confectioners' sugar with milk. Drizzle over cake and immediately top with colored sugars.
Insert plastic baby from bottom if using. Serve and enjoy!