To make the dough: warm milk on the stove until just before it simmers (scald the milk) and stir in the butter. Allow the mixture to cool to room temperature. Dissolve yeast in a large bowl with the warm water and 1 tbsp of the sugar. Let the yeast mixture set until it foams up, 5-10 minutes.
Add the cooled milk to the yeast mixture and the whisk in the eggs. Add the butter, the rest of the sugar, salt, and nutmeg until stir until combined. Add the flour into the wet ingredients 1 cup at a time until it comes together. At this point, use a stand mixer with the dough attachment to knead the dough for about 5 minutes, until the dough is smooth and is elastic (you may need to add a little more flour to the mixer bowl to keep it from sticking). You can also knead the dough by hand on a floured surface for about 10 minutes.
In a large bowl, add a small amount of oil to coat the bowl and then put your dough in, turning to coat both sides of the dough with oil. Cover and let rise in a warm place until twice the size, about 2 hours.
When fully risen, take out the dough (it will rapidly deflate) and divide into 4 pieces.
Preheat oven to 375 degrees F. Line two sheets with parchment paper or Silpat liners.
To make the Filling: In one bowl, combine the brown sugar, cinnamon, pecans, flour, and butter. In another bowl, add the cream cheese and mix with a small spatula or spoon until it is a spreadable consistency (you can warm it for a few seconds in the microwave if necessary).
Roll each of the dough pieces into large rectangles about 1/8 inch thick. Spread 1/4 of the cream cheese mixture and sprinkle 1/4 of the sugar mixture over each piece.
Roll each piece (length-wise) like a nut roll or jelly roll and then bring the ends together to form a circle. With a sharp knife, make a few cuts on the top of the rings and then let rise in a warm place again, for about 45 minutes or until it’s doubled in size.
Bake in the oven for approximately 25 minutes, or until the cake is golden brown. {At this point, you can let the cake cool a little bit, and then add a small plastic baby to the inside} While it’s still a little warm, make and top with the glaze by combining the powdered sugar and 1T of water in a small bowl, adding a little more water at a time until the glaze will spread easily over the surface of the cake.
Sprinkle with colored sugar or sprinkles {we used purple colored sugar, and lime and yellow sprinkles!} while the glaze is still wet.
Serve immediately or at room temperature.