Evenly space the oven racks in the oven and preheat to 375 degrees F on the convection setting, if available. Line 2 baking sheets with parchment paper or silicone mats.
Beat the butter in a medium bowl with an electric mixer on medium-high until smooth. Add the sugar and citrus zest and continue to beat until light and fluffy, about 2 minutes. (The creaming is important to get a great texture, so don't skimp here.) Add the yolks, 1 at a time, beating well after each addition. Beat in the extracts.
Whisk the flour, baking soda and salt together in a bowl. Stir the dry ingredients into the wet mixture, mixing at low speed to make a soft dough.
Scoop the dough into rounded heaping tablespoons with a cookie scoop or measuring spoon. Space the cookies about 2-inches apart on the prepared pans. Freeze for at least 30 minutes. (The cookies can be frozen for up to 1 month.).
Bake the cookies, straight from the freezer, until edges are firm and bottoms are lightly browned, 15 to 17 minutes. Transfer to a rack to cool.
For icing: Mix the confectioners' sugar, colored sugar and appropriate flavored zest in a medium bowl. Add the citrus juice and mix with an electric mixer to make a firm but pourable icing. (If needed, add up to 1 teaspoon more juice, but take care that if the icing is too loose it won't set.) Dip the rounded side of the cooled cookies into the icing, then let the excess icing fall back into the bowl. Dry cookies icing side up on a rack. Serve.
Store in an airtight container for up to 4 days.