Evenly space the oven racks in the oven and preheat to 375 degrees F. on the convection setting, if available. Line 2 baking sheets with parchment paper or silicone mats.
Beat the butter in a medium bowl with an electric mixer on medium-high heat until smooth. Add the sugar and citrus zest and continue to beat until light and fluffy, about 2 minutes. (The creaming is important to get a great texture so don't skimp here.) Add the yolks, 1 at a time, beating well after each addition. Beat in the extracts.
Whisk the flour, baking soda and salt together in a bowl. Stir the dry ingredients into the wet mixture, mixing at low speed to make a soft dough.
Scoop the dough into rounded heaping tablespoons with a cookie scoop or measuring spoon. Space the cookies about 2-inches apart on the prepared pans. Freeze for at least 30 minutes. (The cookies can be frozen for up to 1 month.)
Bake the cookies, straight from the freezer, until edges are firm and bottoms are lightly browned, 15 to 17 minutes. Transfer to a rack to cool.
For icing: Mix the confectioners' sugar, colored sugar and appropriate flavored zest in a medium bowl. Add the citrus juice and mix with an electric mixer to make a firm but pourable icing. (If needed, add up to 1 teaspoon more juice, but keep in mind that if the icing is too loose it won't set.) Dip the rounded side of the cooled cookies into the icing; then let the excess icing fall back into the bowl. Dry cookies icing side up on a rack. Serve.