Warm the milk in the microwave in a bowl or on the stovetop in a small pot, just until warm.
Pour the milk into the bowl of a stand mixer or other large mixing bowl. Stir in the sugar and sprinkle the yeast over the top. Allow this mixture to set for 5 minutes. The yeast should get bubbly.
Add the melted butter and eggs and stir to combine. Add the flour, salt, cinnamon, and orange zest. Mix with a dough hook on stir and then on low until a smooth dough forms. The dough can also be stirred and kneaded by hand.
Transfer the dough to a greased bowl and cover. Allow to rise until double in bulk, about 90 minute to 2 hours.
Move the dough to a lightly floured work surface. Roll the dough into a large rectangle, about 1/4 inch thick.
Spread the softened butter over the surface. Sprinkle colored sugars across the dough in ROYGBIV order. To achieve a rainbow effect, spread the sugars in horizontal lines parallel with the long side of the dough.
Starting at the long end, roll up the dough tightly. Pinch to seal the edges.
Use unflavored dental floss to cut the rolls into eight equal rounds. Place the rounds in a greased baking dish. Allow to rise for another 60 minutes, or until doubled in size.
Preheat the oven to 350° and bake the rolls for 20 minutes, or until lightly browned. Cool on wire racks.
Meanwhile, in a small mixing bowl, combine the powdered sugar and enough milk to make a thin glaze. Drizzle the glaze over the cooled rolls. Add colored sprinkles if desired.
To make it in a bread machine: Combine all dough ingredients in the pan of your bread machine according to the manufacturer’s directions. Set on the dough cycle and start machine. When the machine beeps, remove dough from pan and transfer it to a lightly floured surface.