Combine 3 cups flour, sugar, undissolved yeast, salt, lemon peel and orange peel in large mixer bowl. Heat butter and milk until very warm (120° to 130°F). Gradually stir into flour mixture. Beat 2 minutes at medium speed of electric mixer, scraping bowl occasionally. Add eggs, vanilla and enough remaining flour to make a soft dough. On a lightly floured surface, knead the dough until smooth and elastic, about 6 to 8 minutes. Cover; let rise on floured surface for 10 minutes. Roll dough into a circle, approximately 12 inches in diameter. Lift dough onto a parchment-lined baking sheet.
To make Filling, melt the butter and mix in the cloves and cinnamon; cool slightly. Brush the filling generously over the dough.
Place a cup lightly in the middle of the circle. With a knife, cut twenty even strips from the cup to the edge of the circle. Twist two strips around each other once, then curl the twisted strips towards the cup in the center of the dough. Repeat this action for the remaining strips, except for the last two strips. Remove cup, then twist and curl last two strips toward the center of the bread. Cover; let rise in a warm, draft-free place until doubled in size, about 45 minutes.
Bake bread in a 350° F oven for 25 to 30 minutes, until surface of the bread is golden brown.
To make Glaze, combine all ingredients in a small saucepan over medium heat. Bring mixture to a boil, maintaining a full boil for 3 minutes, stirring occasionally. Let cool until thickened. Spoon glaze generously over bread.