In a small bowl, combine warm milk, yeast and sugar and whisk to dissolve. Let sit for about 5 minutes until mixture becomes foamy (if it doesn’t become foamy, your yeast may have expired or the milk was too hot, so start over with fresh yeast).
In the bowl of a stand mixer with a dough hook, combine yeast mixture, flour, salt, eggs and vanilla extract. Mix slowly to combine. Once combined, add in butter, one tablespoon at a time. When butter is incorporated, scrape down sides of the mixing bowl, and knead dough for about 5 minutes on medium speed, adding sprinkles in during the last half of kneading.
Remove the dough to a greased mixing bowl. Cover with a clean kitchen towel or plastic wrap and let rise until doubled in size, about two hours.
Grease two loaf pans and set aside. In a small bowl, mix together all filling ingredients.
After two hours, punch down dough and divide into two even portions. Roll out one half of dough into a tall rectangle. Spread evenly with filling mixture to the edges.
Roll up dough using the long side of the rectangle. Once rolled, cut the entire roll down the middle with a sharp knife, lengthwise. You should have two long pieces of dough with the layers of filling exposed. Braid the two pieces over one another, with the filling facing up.
Twist the braid into a shape that will fit in the loaf plan and place it inches Repeat process with second half of dough.
Preheat oven to 350 degrees. Cover both loaves with a clean kitchen towel and let rise for about 20 minutes while the oven is preheating.
Bake loaves for about 50 - 60 minutes. Remove from oven and let cool.