Pour warm water into a small bowl; sprinkle with 1 package yeast. Using a fork, stir in yeast until dissolved; let stand until foamy, 5 to 10 minutes. Stir in 1/2 cup flour; cover bowl with plastic wrap. Let stand in a warm place until doubled in size.
Dice whole, dried fruits and set aside.
Pour warm milk into large bowl of electric mixer. Sprinkle remaining package of yeast over milk; stir together with a fork until dissolved. Let stand until yeast is foamy, 5 to 10 minutes.
In another mixing bowl, whisk together sugar, eggs, 2 egg yolks, and vanilla. Add to the yeast-milk mixture, along with the yeast-water mixture.
In the bowl of an electric mixer fitted with the paddle attachment, beat cold butter and remaining 3 3/4 cups flour on medium speed until crumbly. Slowly add egg mixture; beat on high until dough is elastic-looking and long strands have formed, about 5 minutes. Add dried fruits and zests, and beat until combined. Turn dough into buttered bowl; cover with plastic; let rise in warm place until doubled in size, about 2 hours.
Heat oven to 375 degrees with the rack on the bottom. Generously butter twenty-five 3 1/2-ounce baba au rhum molds; set aside. Turn out dough onto a lightly floured surface; knead a few times to deflate. Divide into twenty-five 3-inch-diameter balls. Place balls into molds; gently press dough to fill slightly more than 3/4 of molds. Transfer molds to baking pan; cover loosely with buttered plastic. Let stand in warm place to rise until dough reaches rims, about 45 minutes.
In a small bowl, combine remaining yolk and cream to make an egg wash. Remove plastic from molds; brush tops with egg wash. Bake 10 minutes. Lower heat to 350 degrees. Bake until tops brown, 20 minutes. If too brown, cover with aluminum foil. Cool on wire rack. Invert molds; dust with confectioners' sugar before serving.