Make the dough: In a cup or bowl, heat the milk in the microwave in 15-second increments or on the stove until it's just warm to the touch. A thermometer should read around 110°F-115°F.
Stir in the yeast and 1 tablespoon of the sugar. Stir to combine, loosely cover with plastic wrap, and let it stand for 5 minutes until it gets very foamy.
In the bowl of a stand mixer, whisk together the bread flour, all-purpose flour, remaining sugar, and salt.
Attach the dough hook to the mixer and add the melted butter, eggs, orange zest, and yeast mixture. Mix on medium-low speed for 6-8 minutes, until the dough becomes smooth and elastic and pulls away from the bowl. If the dough is still sticky, mix in 1 tablespoon of all-purpose flour at a time until it’s just right.
Coat a large bowl with oil and transfer the dough to the bowl, shaping it into a ball. Cover it with a kitchen towel and let it rise for 1 to 1 ½ hours until doubled in size.
Line two large baking sheets with parchment paper and set aside.
Divide the dough into two equal pieces and shape each into balls. Working one at a time, use your fingers to create a hole in the middle of the ball. Then gently pull and stretch the dough all around to create a large oval-shaped ring that’s about 10 ½ x 7 ½ inches in size. Repeat the process for the other dough ball.
Transfer the shaped dough to the prepared baking sheets. Lightly cover with a kitchen towel and let rise for 45 more minutes.
Make the sugar paste: While the dough is rising, make the sugar paste topping. In a medium bowl, add the egg yolk, beat together the egg yolk, all-purpose flour, confectioners sugar, and butter until well combined.
Divide the paste into 16 small pieces and shape them into strips. Refrigerate until ready to use.
Make the egg wash for the decoration: In a small bowl, whisk together the egg and milk until combined.
When ready to decorate, preheat the oven to 350°F and arrange the oven racks in the middle and top positions.
Uncover the dough and brush the egg wash all over both of the roscas.
Decorate each rosca by laying 8 sugar paste strips evenly spaced across the dough. Arrange the guava or quince paste strips and the candied cherries in the empty spaces to your liking.
Bake the roscas for 25 minutes, swapping the location of the baking sheets halfway through, until the tops are golden brown and the bread is fully cooked through. Allow to cool for at least 30 minutes.
Insert 1 or 2 Baby Jesus figurines into each rosca from the bottom once it has cooled. Serve.