Heat the milk to around 95-100°F in a pot or the microwave.
In the bowl of a stand mixer, whisk together the active dry yeast and the warmed milk, set aside to bloom. In a large mixing bowl zest the orange and lemon into the sugar and mix together with your fingertips or with the back of a spoon. Add the flour and salt to the sugar mixture.
Dump the flour mixture along with the egg and vanilla extract into the mixer bowl. Mix on low speed with the paddle attachment until combined. Scrape down the sides with a stiff rubber spatula or bowl scraper.
Switch to the dough hook attachment and mix on medium speed until a rough window pane can be pulled.
Add the softened butter to the mixer and mix with the dough hook on low speed until incorporated.
Scrape the dough into a well-oiled bowl, give it one set of folds by grabbing one side, pull it upwards out of the bowl and then fold it over 1/3 of the dough. Rotate the bowl 180 degrees and repeat with the opposite side. Rotate a quarter turn and repeat the same folding technique. Rotate the bowl 180° and make the final fold. Cover with plastic wrap and allow to proof for an hour in a warm place.
Perform one more set of 4 folds like in Step 7. You should have a nice tight square packet of dough. Cover with plastic wrap and allow to double. Mine took about an additional 40 minutes. While the dough is finishing its bulk proof make sure you have your eggs dyed, dried and ready to go!
When the dough has doubled and feels light and airy when touched, turn it out onto a lightly floured surface. It barely needs any flour! Divide into 6 equal portions. You can eyeball this or weigh them. They should be between 200-205g each.
Pre-shape each piece into a log. Working one piece of dough at a time, take the top half and fold it towards the center, pressing it down with your fingers. Rotate 180° and repeat with the other side. Perform 2 thumb folds by starting on the right side, rolling the top portion of the dough around your left thumb, seal it with the heel of your right hand. Repeat all the way down the length of the dough and then repeat once more creating a tightly rolled log.
Let bench rest for 10 minutes and then, using both hands, gently roll and press each log into a rope approximately 14 inches long. You’ll want to use floured hands rather than bench flour. Use the friction to help you lengthen the ropes.
Take 2 ropes and firmly press one end of each rope together with your fingers. I find pressing it against the work surface works nicely because then it is easier to wrap them. Taking one rope in each hand, wrap the ropes around each other in a spiral like DNA.
Wrap the spiral into the shape of a wreath (or a crown of thorns) and firmly seal the ends together, tucking them underneath the spiral portion. Place on a parchment lined baking sheet. Repeat with the remaining 4 pieces. 2 wreaths can go on one sheet and the third will need his own special tray.
Place one dyed egg in the center of each wreath. You don’t need to press it down, the weight of the egg will sink it as the dough rises. Cover with plastic wrap and place back in the warm spot to double. This took about 45 minutes for mine to feel light and airy to the touch. While the dough final proofs make the simple syrup.