Filling: In a small saucepan over medium heat, bring the sherry and orange juice just to the boil. Meanwhile, combine the figs, raisins, walnuts, honey, cinnamon and lemon zest in a food processor, and pulse until the nuts are finely chopped. Add the hot liquid through the feed tube and pulse into a paste. Transfer to a pastry bag with a medium round tip, or to a bowl, cover and set aside.
Dough: Sift together flour, sugar, baking powder and salt. Using a pastry cutter, or two knives, cut in the butter until it resembles coarse cornmeal. Stir in the egg and milk, stirring until well combined.
Divide the dough into two pieces. Roll each piece out into a strip about 4" wide and 1/8" thick (or pass dough through a pasta roller until the same size is achieved); each strip should be 6-8" long. Cut each strip in half lengthwise, to yield 4 2" strips.
Assembly: Preheat oven to 350°F Spoon or pipe the filling down the center of each strip. Moisten each strip of dough, on either side of the filling, with water, then roll over to enclose filling. Gently press the seam to seal, then roll seam-side-down. Cut logs on an angle into 1" pieces. Place cookies on non-stick cookie sheets (or line regular sheets with Silpat) at least 1/2" apart. Bake 15-20 minutes, until pale golden brown. Transfer to a rack to cool completely.
Icing: Whisk together powdered sugar, milk and vanilla. Dip tops of cooled cookies in icing, then top with sprinkles.