Preheat oven to 350 degrees.
FOR THE FILLING:
Bring the sherry and the orange juice just to a boil in a small saucepan. Meanwhile, put the figs, raisins, walnuts, honey, cinnamon, and lemon zest into food processor and pulse until the nuts are very finely chopped.
Pour the sherry mixture through the feed tube of the food processor and continue processing the fig mixture to a finely chopped paste. Scrape the filling into a zip lock bag and set aside.
FOR THE DOUGH
Sift together the flour, granulated sugar, baking powder, and salt into a large mixing bowl. Using a pastry cutter, cut the butter into the flour till it resembles cornmeal. Stir in the eggs and milk, mixing until the dough is well combined.
Divide the dough in half. and roll out each half to about 1/8 inch thick and 4 inches wide. Cut each sheet in half lengthwise so that you end up with 4 long, narrow strips of dough.
TO FILL DOUGH:
Use the zip lock bag with corner of bag snipped off to pipe a quarter of the filling down the middle of each strip of dough. With pastry brush, moisten the dough with water on either side of the filling. Roll the dough over the filling, completely enclosing the filling, then gently press on the seam to seal dough.
Place the pastry logs seam side down, and slice them diagonally; about 1 1/2 inch size. Place cookies at least 1/2 inch apart on nonstick cookie sheet and bake until a pale golden brown, 15 to 20 minutes. Set the cookies on a rack to let them cool.
FOR THE ICING:
Whisk together the powdered sugar, milk and vanilla in a wide bowl.
Dip the top of each cookie into the icing. If you want sprinkles on them, add to top of cookie before icing dries.