Place dried figs in a small saucepan, cover with water, and bring to a gentle boil. Cook for 10 minutes, then drain thoroughly and let cool for 10 minutes.
Toast walnuts and almonds in a dry skillet over medium heat for 3–4 minutes, stirring frequently, until fragrant. Remove from heat and let cool.
Add cooled figs, dates, raisins, and toasted nuts to a food processor and pulse 10–15 times until coarsely chopped. Add honey, Marsala wine, orange zest, orange juice, cinnamon, cloves, and nutmeg; process 1–2 minutes until a thick, cohesive paste forms.
Transfer filling to an airtight container and refrigerate for at least 2 hours, or overnight for best flavor.
In a clean food processor, pulse together flour, sugar, baking powder, salt, and orange zest. Add cubed butter and pulse 15–20 times until the mixture resembles coarse crumbs.
Whisk together eggs, milk, and vanilla, then pour slowly into the running food processor. Process just until the dough comes together, about 30–45 seconds — do not overmix.
Divide dough into two equal portions, shape into rectangular disks about 1 inch thick, wrap tightly in plastic wrap, and refrigerate for at least 2 hours or up to 2 days.
Preheat oven to 375°F (190°C) and line baking sheets with parchment paper. Let one dough disk rest at room temperature for 10 minutes, then roll out to a 16×8-inch rectangle about 1/4 inch thick.
Cut the dough rectangle lengthwise into four 2-inch-wide strips. Shape about 1/4 cup of filling into a rope and place it down the center of each strip, leaving 1/2 inch on each side.
Fold one long edge of dough over the filling, then overlap with the other edge to seal into a log; press firmly along the seam and ends. Place seam-side down on prepared baking sheets, spaced 2 inches apart.
Brush tops of logs with milk or beaten egg, then bake for 12–15 minutes, rotating pans halfway through, until lightly golden. Repeat rolling, filling, and baking with the second dough disk.
Immediately transfer warm logs to a cutting board and use a sharp knife to cut them diagonally into 3/4-inch slices. Transfer cookies to wire racks to cool completely.
Whisk together powdered sugar, 3–4 tablespoons milk, and vanilla until smooth. Drizzle over completely cooled cookies and immediately top with colored sprinkles; let glaze set for 30 minutes before storing.