In a mixing bowl, combine cream cheese, jam, granulated sugar, one teaspoon vanilla extract, and red food coloring. Mix well and set aside. On a lightly floured surface, roll out dough to a 10"x14" rectangle. Carefully transfer dough onto prepared baking sheet. Spread with cream cheese mixture lengthwise down center third of dough. With a sharp knife, make two inch long cuts at one inch intervals down both of the 14" sides. Fold strips diagonally over filling, overlapping strips to give a braided look. Pinch dough to seal edges. Let rise in a warm draft free place until doubled in size. Bake in a 375 degree oven for 25 minutes, or until golden brown. Meanwhile, to prepare glaze, combine powdered sugar, milk, and remaining vanilla extract in a small bowl. Mix until drizzling consistency. Drizzle over bread.