Make dough: Combine sour cream, ⅓ cup sugar, butter, and salt in a large saucepan over medium-low heat. Cook and stir until butter melts, about 5 minutes. Remove from heat; let mixture cool to 100 to 110 degrees F (38 to 43 degrees C), about 15 minutes.

Stir together water, yeast, and 1 tablespoon sugar in a 1-cup glass measuring cup; let stand until creamy, about 5 minutes.

Combine sour cream mixture, 2 cups bread flour, yeast mixture, and eggs in the bowl of a heavy-duty electric stand mixer fitted with the paddle attachment. Beat at medium speed until smooth, about 1 minute. Reduce speed to low; gradually add 4 more cups flour, beating until dough comes together.

Turn dough out onto a surface dusted with ¼ cup flour. Knead, gradually adding remaining ½ cup flour, 2 tablespoons at a time, until smooth and elastic, about 10 minutes. Dough should be tacky but release easily from surface.

Place dough in a well-greased bowl; turn to grease the top. Cover; let rise in a warm place until doubled in size, 45 minutes to 1 hour.

Meanwhile, prepare filling. Beat together cream cheese, sugars, cinnamon, and vanilla in a large bowl with an electric mixer on medium speed until smooth. Beat in egg until combined. Set aside.

Gently punch dough down; divide in half. Roll 1 portion out into a 22x12-inch rectangle on a lightly floured surface. Keep the other portion covered. Spread ½ of the filling over rectangle, leaving a 1-inch border. Sprinkle with ½ cup pecans. Carefully roll up, starting from a long edge.

Place roll, seam-side down, on a parchment paper-lined baking sheet. Bring the ends of roll together to form a ring. Moisten the ends with water; pinch together to seal. Repeat with remaining dough, filling, and pecans. Cover and let rise in a warm place until doubled in size, 45 minutes to 1 hour.

Preheat the oven to 350 degrees F (175 degrees C). Uncover dough rings.

Bake in the preheated oven until cakes are a deep golden brown, about 25 minutes. Cool cakes completely on wire racks, about 1 hour 30 minutes.

Make glaze: Stir together confectioners' sugar, melted butter, and vanilla in a large bowl. Mix in milk until combined. Add additional milk if needed, 1 teaspoon at a time, until pourable but still opaque.

Pour glaze evenly over cakes. Sprinkle with sparkling sugars, alternating colors to form bands.