Step 1: In a small bowl, combine warm milk, yeast, and a tablespoon of sugar. Let it sit for 10 minutes until it becomes foamy.
Step 2: In a large bowl or stand mixer, combine the flour, remaining sugar, salt, and cinnamon. Add the yeast mixture, melted butter, eggs, and vanilla.
Step 3: Knead the dough for about 8 minutes until it is smooth and elastic. Place in a greased bowl, cover, and let rise in a warm area for 1.5 to 2 hours.
Step 4: Punch down the dough and roll it out on a floured surface into a rectangle (about 10x16 inches). Sprinkle the brown sugar, cinnamon, and pecans over the surface.
Step 5: Roll the dough up tightly starting from the long side. Form into an oval ring on a parchment-lined baking sheet. Let rise for another 45 minutes.
Step 6: Bake at 350°F (175°C) for 25-30 minutes until golden brown. Allow to cool completely.
Step 7: Mix powdered sugar and milk to create a thick glaze. Pour over the cake and immediately sprinkle with purple, green, and gold sugars. Hide the baby figurine in the bottom of the cake.