In saucepan, bring honey, grappa and orange juice to boil.
Add figs and bring to a simmer.
Simmer until figs are plumped, about 2 to 3 minutes.
Remove from heat and let cool thoroughly while you make the dough.
In a food processor, combine flour, sugar, baking powder and salt.
Pulse to combine.
In a small bowl, beat together eggs and milk.
With the processor running, pour egg/milk mixture into dry ingredients and process until dough forms a ball, about 15 to 20 seconds.
Knead dough on counter once or twice, then wrap in plastic wrap and let rest in the refrigerator at least 1 hour or until firm.
When the filling is cool, scrape into a food processor and add lemon zest and cinnamon.
Process to make a smooth paste.
Add the walnuts and pulse a few times, leaving the nuts slightly chunky.
Transfer filling to a bowl and freeze until firm, about 1/2 hour.
Preheat oven to 350 degree F.
Divide dough in half and roll one half, between parchment paper, to a rectangle about 16 inch by 7 inches.
Cut strip in half to make 2 long strips.
Roll a quarter of the filling into a log that fits down the center of 1 strip.
Wet the edges of the strip with water and use parchment as a guide to roll into a log and seal.
Flatten the top slightly with the palm of your hand.
Repeat with remaining dough and filling,Using a wet knife, cut logs into 1-inch lengths and place with the cut sides facing out on parchment lined baking sheets.
Bake until golden, about 15 to 20 minutes.
Transfer cookies to wire rack and cool completely.
To glaze cookies, sift confectioner's sugar into a bowl and whisk in milk to make a smooth glaze.
Dip a cookie in the glaze.
It should stick to the cookie in a thin layer.
If not, adjust consistency of glaze with more milk or confectioner's sugar.
Dip cookies in glaze and let dry on wire racks.