In a large bowl, beat the softened butter and sugar with a mixer for 2 minutes, until light and creamy.

Beat in the egg, Greek yogurt, and 2 teaspoons vanilla until smooth.

In another bowl, whisk the flour, protein powder, baking powder, and salt. Add it to the wet mixture on low speed just until a soft dough forms. If it looks crumbly, add milk 1 teaspoon at a time.

Divide the dough in half, flatten each half into a disk, wrap, and chill at least 1 hour.

Heat the oven to 350F and line two baking sheets with parchment. Roll one disk between two sheets of parchment to 1/4 inch thick.

Cut shapes with a 2.5 inch cutter and set them 1 inch apart on the baking sheets. Reroll the scraps once. Chill the cut shapes on the sheets for 10 minutes.

Bake 8 to 10 minutes, until the edges are just set and the bottoms are lightly golden. Cool 5 minutes on the sheet, then move to a rack to cool completely.

For the glaze, whisk the powdered sugar, milk, and 1/4 teaspoon vanilla until smooth and thick enough to coat a spoon. Spread or pipe a thin layer on each cooled cookie, add sprinkles if you like, and let it set 1 hour.