Thaw frozen bread dough following package directions. Place in a large bowl, cover, and let stand until pliable and no longer cold, 30 minutes to 1 hour.
In a small bowl, soak raisins in brandy for 30 to 40 minutes. Add raisin mixture and nutmeg to dough. In bowl or on a board, knead raisins into dough. With floured hands, divide dough into 12 equal pieces; shape into round rolls. Place about 2 inches apart on a buttered baking sheet. Cover and let rise in a warm place until almost doubled, about 20 minutes. In a bowl, beat egg with 1 tablespoon water. Brush buns with egg mixture (discard remainder). Bake rolls in a 350º oven until golden brown, about 20 minutes. Transfer to a rack and let stand 10 minutes.
In a bowl, mix powdered sugar and milk. With a spoon, drizzle icing over buns in the shape of a large X.