Arrange the panettone bread cubes to fit compactly into a buttered 2 litre casserole dish. Do not compress too tightly; set aside any leftover bread cubes.
Whisk together 3 eggs and 1/2 cup sugar until the sugar is dissolved and the mixture becomes light yellow in color. Pour in the cream, vanilla and 1 tablespoon orange liqueur; whisk to combine. Stir in 1 pinch salt, 1/8 teaspoon nutmeg, lemon zest and orange zest. Pour this mixture over the panettone cubes in the casserole dish. Cover and refrigerate for 30 minutes.
Preheat oven to 180 degrees C.
Remove the bread from the refrigerator, uncover and dot the top of the bread pudding with 2 1/2 tablespoons butter and sprinkle with 2 tablespoons white sugar.
Set casserole dish into a shallow pan that is 5-8cm larger in diameter than the casserole dish. Set these pans onto the centre rack of the preheated oven. Pour hot water into the outside pan until it reaches a depth of 3cm around the casserole dish, creating a water bath.
Bake the pudding in the water bath until it is fully set and a knife inserted into the centre of the pudding comes out clean, 1 to 1 1/4 hours. The water bath will help the pudding to cook evenly and maintain a light texture. Carefully remove the pudding from the water bath and cool for at least 15 minutes before serving.
Just before serving, make the sauce by melting 1/2 cup butter in a saucepan over low heat. Stir in 1 cup sugar, 1/4 cup orange liqueur, 3 tablespoons water, 1/8 teaspoon nutmeg and 1/8 teaspoon salt. Stir and heat over medium heat until the sugar is fully dissolved and the liquid is heated through. Remove from heat.
In a small mixing bowl, whisk 1 egg until well beaten. While whisking the egg, slowly pour 2 tablespoons of the hot mixture into the bowl with the egg. Then, while whisking mixture vigorously, slowly pour the warmed egg mixture back into the sauce.
Place the saucepan back over low heat, gently stirring the sauce and raising the temperature slowly to medium. Continue to stir until the sauce almost reaches a simmer, reducing the heat as necessary if the mixture threatens to boil. Continue stirring until the sauce thickens, 1 to 2 minutes. Spoon over the bread pudding and serve immediately.