In a small bowl, combine the sponge ingredients. Stir well to combine, loosely cover with plastic wrap and set aside to proof for 10 - 15 minutes.
In the bowl of a stand mixer combine the prepared sponge along with the yogurt, butter, eggs, sugar, salt and flavoring. Add 4 1/2 cups of flour and mix with the paddle attachment until the dough is a rough, shaggy mass. Switch to the dough hook and knead on speed 2 until a soft, smooth dough forms, about 5 to 6 minutes, adding more flour if needed to achieve the correct consistency.
Place the kneaded dough into a lightly greased bowl, cover with plastic wrap and allow to rise for 60 - 90 minutes, until quite puffy and nearly doubled.
While the dough is rising, prepare the filling. Combine all the filling ingredients (except the lemon curd) in a small bowl, mixing until smooth and lump-free. Reserve the filling and lemon curd until ready to fill the braids.
Gently deflate the dough and divide it in half. Cover half with plastic wrap and set it aside as you roll out the first piece into a 10 x15 inch rectangle. Rolling on parchment paper makes moving the bread to the baking sheet much easier. Lightly press two lines down the dough lengthwise, to divide it into 3 equal sections. Spread half the cream cheese filling down the center section and top with half the lemon curd, leaving 1" free on all sides of the filling.
To form the braid, cut 1" crosswise strips down the length of the outside sections, making sure you have the same number of strips down each side. Beginning on the left, lift the cut dough strip and gently bring it across the filling diagonally. Repeat on the other side with the top dough strip, so that the two strips crisscross each other. Continue down the entire braid, alternating strips to form the loaf.
Repeat the rolling, filling and braiding steps for the second piece of dough, using the remaining cream cheese filling and lemon curd. Set both loaves aside, lightly covered, to rise for 45 - 50 minutes or until quite puffy.
Preheat the oven to 375 degrees. Whisk together the egg, 2 teaspoons water and pinch of salt. Brush the loaves with the egg wash and sprinkle with coarse sparkling sugar, if desired.
Bake for 25 - 30 minutes or until the loaves are golden brown. (If you find the braids are browning too quickly, lower the temperature slightly.) Remove from the oven and cool for 15 - 20 minutes before serving.