Place dried figs in a saucepan, cover with water by 1 inch, and bring to a boil. Reduce heat and simmer for 10 minutes until softened, then drain and cool for 10 minutes.
Add cooled figs, dates, raisins, walnuts, orange juice, honey, orange and lemon zests, cinnamon, nutmeg, cloves, and salt to a food processor. Pulse 15–20 times until a thick, spreadable paste forms with small nut pieces visible.
Transfer the filling to a bowl, cover with plastic wrap, and refrigerate for at least 2 hours or up to 2 days to allow flavors to meld.
Whisk together flour, sugar, baking powder, and salt in a large bowl, then cut in the cold cubed butter until the mixture resembles coarse crumbs. In a separate bowl, whisk eggs, milk, and vanilla, then stir into the flour mixture until a shaggy dough forms.
Knead the dough gently 5–6 times on a floured surface until smooth, then divide into 4 equal disks, wrap in plastic wrap, and refrigerate for at least 1 hour or up to 2 days.
Position oven racks in the upper and lower thirds and preheat to 350°F (175°C). Line two large baking sheets with parchment paper or silicone baking mats.
Working with one dough disk at a time (keep others chilled), roll on a lightly floured surface into a rectangle about 16×6 inches and 1/8 inch thick. Trim edges straight with a knife or bench scraper.
Spoon about 1 cup of filling in a 1-inch-wide log down the center of the dough, leaving 2 inches at each end. Fold one long edge over the filling, then overlap the opposite edge over it; press the seam and pinch the ends to seal.
Using a sharp knife or pizza cutter, slice the log diagonally into 1-inch pieces. Repeat the rolling, filling, and cutting process with the remaining dough portions.
Place cookies seam-side down on prepared baking sheets about 1 inch apart, and bake for 22–25 minutes, rotating pans halfway through, until bottoms are golden brown. Cool on the pan for 5 minutes, then transfer to wire racks.
Once cookies are completely cool, whisk together confectioners' sugar, 2–3 tablespoons of milk, and vanilla to a thick pourable glaze, then drizzle or brush over cookies. Add sprinkles immediately and let the glaze set for 20–30 minutes before serving.