Put the milk into a large bowl and sprinkle the yeast overtop. Let stand for 5 minutes, until it’s foamy. Add 3 cups of the flour along with the butter, sugar, egg, lemon or orange zest and vanilla. Stir until the dough comes together, and continue to knead, or mix with the dough hook attachment of your stand mixer, until the dough is smooth and elastic, adding more flour as needed (you’ll likely need 3 1/2 cups). It should be tacky, but not sticky—add more flour if it’s sticking to your hands. It will smooth out and become less tacky as it sits. If you have time, cover and let it rise for 1-2 hours before adding the fruit.
Add the dried fruit and nuts by patting out the dough, piling on the fruit and folding the dough over itself a few times to incorporate them. Shape into a ball and place it back in the bowl, cover with a tea towel and let stand in a warm place for another hour.
On a parchment-lined sheet, pat the dough into a rough circle about 8 inches in diameter and fold about half of the dough over itself, as if you were starting to fold a letter. (Put a log of marzipan inside the fold, if you like.) Cover with a tea towel and let stand in a warm place until the dough looks a bit puffy but not doubled, about 30 minutes. As it rises, preheat the oven to 350°F. Brush the loaf with beaten egg and bake for 30 minutes, or until deep golden.
Shower with a generous amount of icing sugar while the bread is still warm. Makes 1 loaf.