Combine 2 cups (280 g) flour, yeast, sugar, and salt in a large mixer bowl; using a paddle attachment, mix on low speed until incorporated. Heat milk in a microwave-safe measuring cup for 45 seconds to 1 minute, until very warm (120-130°F). Add warm milk, butter, and egg to flour mixture and mix until combined; mix in remaining 1 1/2 cups (210 g) flour. Switch to a dough hook attachment. Knead dough for 5 minutes until smooth and elastic. The dough is ready when it feels tacky but doesn't stick to your fingers (if necessary, add additional flour 1 tablespoon at a time while kneading).
Place dough in a large bowl coated with nonstick spray and cover with plastic. Let the dough rise in a warm place until doubled in size, about 40 minutes. To check if dough has doubled, lightly flour two fingers and press them down into center of dough. If indentations remain, dough has risen enough. When the dough is ready, gently press down dough; cover and let rest 5 minutes.
While the dough rests, prepare the filling. Place hazelnuts and sugar in a food processor and process until finely ground. Transfer to a bowl and whisk in salt, cinnamon, cloves and nutmeg; add vanilla, melted butter, and milk, and stir mixture until spreadable.
Line a large rimmed baking sheet with parchment paper. Turn dough out on a lightly floured board and roll into an 18 x 12-inch rectangle. Dollop filling over dough and use an offset spatula to spread into an even layer, leaving a 1-inch border. Starting with the long edge, roll dough up into a tight log, jelly roll style. Use a sharp serrated knife to cut dough in half, lengthwise down the middle. Carefully transfer each half to prepared baking sheet and turn each half so that the filling faces up. Twist the two strands from the middle out to the ends, like a rope. Tuck ends under, cover loosely with plastic and let rise 25 minutes. (To prepare ahead: After bread rests, cover and refrigerate overnight. Bring to room temperature - this takes about two hours - before baking)
Preheat oven to 350°F. Bake bread until golden brown, about 35 minutes (cover with foil after 25 minutes to prevent over-browning). Let cool on a wire rack for 30 minutes before glazing. For the glaze, whisk together powdered sugar, salt, melted butter, hazelnut liqueur, milk, and vanilla in a small bowl. Drizzle glaze over bread, top with gold sprinkles, and let set before serving.