To make the sweet dough: combine the milk, sugar, eggs, yeast, lemon zest, anise seeds, and salt together in the bowl of a heavy-duty stand mixer. Mix with the paddle attachment at low speed until combined.
Gradually add 3 ½ cups of flour to make a thick batter. One tablespoon at a time, beat in the butter, waiting for the first addition to be absorbed before adding more. Gradually add enough of the remaining flour to make a soft dough that cleans the bowl. Switch to the dough hook and mix on medium-low speed, occasionally pulling down the dough as it climbs up the hook until the dough is smooth, shiny, and slightly sticky (do not add too much flour), about 8 minutes.
To make the dough by hand: whisk the milk, sugar, eggs, yeast, lemon zest, anise seeds, and salt together in a large bowl. Gradually stir in 3 ½ cups of the flour to make a thick batter. One tablespoon at a time, stir in the butter, waiting for the first addition to be absorbed before adding more. Gradually stir in enough of the remaining flour to make a dough that cannot be stirred. Turn the dough out onto a lightly floured work surface and knead, adding more flour as necessary, until the dough is smooth, supple, and slightly sticky (do not add too much flour), about 10 minutes.
Butter a large bowl. Gather the dough into a ball. Turn the dough in the bowl to coat it, leaving the dough smooth side up. Cover tightly with plastic wrap and let stand in a warm place until doubled in volume, about 1 ¼ hour (or refrigerate the dough for at least 8 and up to 24 hours.)
Line a large rimmed baking sheet with parchment paper. Divide the dough into thirds. Roll each piece of dough underneath your palms on the work surface into a 20-inch rope, tapering the ends. Line up the ropes next to each other. Starting from the center, braid the ropes to each end, pinching the rope ends together to shape into a tapered loaf. Transfer the braid to the parchment paper-lined baking sheet. Cover loosely with plastic wrap. Let stand in a warm, draft-free place until almost doubled in volume, about 1 hour (or about 1 ½ hour for chilled dough). During the last 15 minutes of rising, distribute the colored eggs evenly over the top of the braid, nesting them in the seams.
Preheat the oven to 350⁰F
Brush the braid lightly with the egg glaze and sprinkle with the nonpareils. Bake until the loaf is golden brown and sounds hollow when tapped on the bottom, about 30 minutes. Let cool completely before slicing.