Scald the milk on the stove or in the microwave. Bring it to a boil, then remove from the heat and cool completely before using. You can place it in the fridge to bring the temperature down faster. (Don't skip this step, or you're bread may not rise properly.)
Using an electric mixer with a bread hook, place the warm water (just barely over luke-warm, too hot will kill the yeast) and sugar in the mixing bowl. Sprinkle the yeast over the water and let it foam for 10 minutes.
Then turn on the mixer and add the cooled milk, egg and salt. Slowly add the flour. Once all the flour is in the bowl, add 4 tablespoons of melted butter. "Knead" the dough with the bread hook for 5-8 minutes.
The dough will be smooth, but tacky. Oil the mixer bowl, then cover with plastic wrap, and let the dough rise in the bowl for 2 hours. Mix the brown sugar, cinnamon, nutmeg and sea salt in a separate bowl and set aside.
Once the dough has doubled in size, dump it out on a floured work surface. Roll the dough out into a large rectangle, 18x13 inches in size. Gently spread a thin layer of Nutella over the dough, leaving the dough bare around the edges. Then sprinkle the cinnamon mixture over the dough. Now starting on one of the long edges, roll the dough into a long cylinder.
Use a large knife to cut the dough down the middle, length wise, and open it up to expose the layers inside. Then alternate crossing the pieces over each other to create a braid. Move the braid to a parchment paper-lined baking sheet and shape into a ring. Fold the ends under each other, so they resemble the braid.
Preheat the oven to 350 degrees F and allow the bread wreath to rise for at least 45 minutes. Then bake for 22-30 minutes, until brown and crispy on top. Cool at least 10 minutes before cutting.