The dough. Pulse the flour, sugar, baking powder, and salt in a food processor. Add the butter and pulse again. Add the eggs, vanilla extract, and milk and process until you get a smooth dough. Shape into a disk, cut into 4 equal pieces, wrap in plastic, and store in a fridge until needed.
The filling. In a food processor, pulse the figs, raisins, orange zest, orange juice, and walnuts until finely chopped. Transfer the mixture to a bowl and stir in the honey, rum, and cinnamon. Mix well. Preheat the oven to 400°F (200°C). Line two bakings sheets with parchment paper and set aside.
Shaping the cookies. Working with 1 piece of the dough at a time, roll it out to an 8 x 8 inch (20x20cm) square and cut it in half. Brush the bottom inch of each piece with cold water. Spoon the filling from one end of each piece to another (in the center) in a thick ribbon. Fold the moistened edge of the dough over the filling and press to seal.
Cut each strip into 1-inch (2.5cm) parts. Transfer to the prepared baking sheet and repeat with all the remaining dough. Don't overcrowd your baking sheets leaving some space between the cookies.
Bake the cookies for about 14-16 minutes until their tops are golden. When done, remove from the oven and let cool for 5 minutes on the baking sheets. Transfer to a wire rack and let cool completely before covering with the glaze.
The icing. Meanwhile, prepare the icing by whisking the sugar and orange juice in a small bowl until smooth. Dip the top of each cookie in the icing and top with the colored sprinkles. Let the icing harden before serving. Enjoy!