Cream together the ricotta, granulated sugar, butter and egg and in the bowl of a stand mixer fitted with the paddle attachment. Add the flour, baking powder, vanilla and orange zest and mix on low until a smooth dough forms. Refrigerate until firm, 1 hour.
Preheat the oven to 350 degrees F, and line 2 baking sheets with parchment paper or silicone baking mats.
Scoop tablespoon-sized balls of dough and arrange them 2 inches apart on the prepared baking sheets. Bake, rotating halfway through, 15 minutes. Let cool on baking sheets, 20 minutes.
In a small bowl, whisk together the confectioners' sugar and milk until a smooth glaze forms. Dip the tops of cooled cookies, and let sit until the glaze hardens.
Cookies can be stored in an airtight container for 5 days, or frozen for 3 weeks.