In a small bowl, dissolve the yeast in warm milk and let it sit for about 5 minutes until it becomes frothy.
In a large mixing bowl, combine the flour, sugar, and salt. Make a well in the center.
Pour the yeast mixture into the well and add the softened butter, eggs, orange zest, lemon zest, and vanilla extract.
Mix the ingredients until a dough forms. Knead the dough on a floured surface for about 10 minutes until it becomes smooth and elastic.
Place the dough in a greased bowl, cover it with a clean kitchen towel, and let it rise in a warm place for about 1-2 hours or until it doubles in size.
Preheat the oven to 350°F (180°C).
Punch down the dough and shape it into a ring. Place the ring on a baking sheet lined with parchment paper.
If you're adding a filling, gently press it into the center of the dough.
Beat an egg and brush it over the surface of the dough. Decorate the top with candied fruits.
Bake for about 25-30 minutes or until the top is golden brown and the bread sounds hollow when tapped.
Allow the Roscón de Reyes to cool completely before serving.