Dissolve yeast in warm water until foamy. In another bowl, combine milk, egg, softened butter, sugar, and salt. Add yeast mixture and 3 cups flour. Beat on medium speed until smooth, about 1 minute. Stir in enough remaining flour to form a soft dough.
Turn the dough onto a floured surface; knead until smooth and elastic, 6-8 minutes. Place in a greased bowl, turning once to grease the top. Cover and let rise in a warm place until doubled, about 1 hour.
Punch down the dough. Turn it onto a lightly floured surface; divide it into 4 portions. Roll 1 portion into a 12-in. circle. Place on a greased 14-in. pizza pan. Spread with one-third of the jam, leaving a 1/2-inch border. Repeat twice, layering dough and jam, and end with the final portion of dough.
Place a 2-1/2-in. round cutter on top of the dough in the center of the circle (do not press down). With a sharp knife, make 16 evenly spaced cuts from the round cutter to the edge of the dough, forming a starburst. Remove the cutter; grasp 2 adjacent strips and rotate twice outward. Pinch ends together. Repeat with remaining strips.
Cover and let rise until almost doubled, about 30 minutes. Preheat the oven to 375°F. Bake until golden brown, 18-22 minutes. (Watch during the final 5 minutes for any dripping.) Remove from the oven; brush with melted butter, avoiding areas where jam is visible. Cool completely on a wire rack. Dust with confectioners' sugar.
Notes
For an extra festive touch, sprinkle holiday-themed sprinkles on top of the confectioners' sugar.
Serve with a side of whipped cream or vanilla ice cream for a delightful dessert.