Heat oven to 350° F. Butter and flour a 12-cup tube or angel food cake pan. In a large bowl, whisk the flour, baking soda, and salt.
In a separate large bowl, with an electric mixer, beat 2 sticks of the butter with the sugar on high speed, until fluffy. Add the eggs, milk, and vanilla, and beat to combine. Reduce the mixer speed to low and gradually add the flour mixture, mixing until just combined.
Transfer the batter to the prepared pan. Bake until a toothpick inserted in the center comes out clean, 50 to 60 minutes. Cool the cake for 15 minutes in the pan, then transfer to a rack to cool completely.
Using a paring knife, cut 5 deep slits in the side of the cake and carefully insert a candy into each.
With an electric mixer, beat the cream cheese and the remaining stick of butter until smooth. Beat in the confectioners' sugar. Add the food coloring (if using). Frost the cake and decorate with the remaining candies, as desired.