In a small bowl, combine the sponge ingredients. Stir well to combine, loosely cover with plastic wrap, and set aside to proof for 10 to 15 minutes.
In the bowl of your stand mixer whisk together the combine the sponge with all of the dough ingredients. Mix with the dough hook and knead on speed 2 until a soft, smooth dough forms, about 5 to 6 minutes.
Place the kneaded dough in a lightly greased bowl, cover with plastic wrap, and allow to rise for 60 to 90 minutes, until quite puffy and nearly doubled.
While the dough is rising, prepare the filling. Combine all the filling ingredients (except the preserves) in a small bowl, mixing until smooth and lump-free. Reserve the filling and preserves until ready to fill the braids.
Cut two pieces of parchment into 10"x15" rectangles. Gently deflate the dough and divide it in half. Cover half with plastic wrap and set it aside as you roll out the first piece into a 10" x 15" rectangle onto one of the parchments. Rolling on parchment paper makes moving the bread to the baking sheet much, much easier. Lightly press two lines down the dough lengthwise, to divide it into 3 equal sections. Spread half the cream cheese filling down the center section, and top with half the preserves, leaving 1" free on all sides of the filling.
To form the braid, cut 1" crosswise strips down the length of the outside sections, making sure you have the same number of strips down each side. Begin by taking one end of the center section of dough and folding it over the filling. Beginning on the left, lift the top dough strip and gently bring it across the filling diagonally and gently press the end of the strip into the dough where it rests. Repeat on the other side with the top dough strip, so that the two strips crisscross each other. Continue down the entire braid, alternating strips to form the loaf.
Repeat the rolling, filling, and braiding steps for the second piece of dough, using the remaining cream cheese filling and preserves. Gently slide the loaves on the parchment onto an insulated baking sheet. You should be able to fit both loaves on one sheet, but may need trim the parchment. Cover the loaves with a soft cloth and let them rise for 45 to 50 minutes, or until quite puffy.
Preheat the oven to 375°F. Brush the loaves with egg wash (one lightly beaten egg, 2 teaspoons water and a pinch of salt) and bake for 25 to 30 minutes, or until the loaves are golden brown. Remove from the oven and cool for 15 to 20 minutes.
To make the drizzle, slowly add small amounts of milk to the powdered sugar until you have a thick but drizzling consistency. With loaves on a cooling rack, place waxed paper underneath to catch drips, then drizzles powdered sugar glaze back and forth across the loaves. Allow to set before serving.