Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.
Bring a large pot of water to a boil. Add baking soda (be careful, it will foam).
Drop frozen pretzels into boiling water for 30 seconds each. Remove with a slotted spoon and place on prepared baking sheet.
Brush pretzels with beaten egg and sprinkle with coarse salt. Bake for 10-12 minutes until golden brown.
While pretzels bake, make the cheese dip: In a microwave-safe bowl, combine cream cheese, sour cream, cheddar, garlic powder, mustard powder, cayenne (if using), and milk. Microwave in 30-second intervals, stirring between, until melted and smooth (or heat in a saucepan over low heat).
Transfer warm cheese dip to a serving bowl. Garnish with chopped chives or parsley if desired.
Arrange baked pretzels on a platter around the cheese dip. Serve warm.
Tips
For a spicier dip, add a pinch of red pepper flakes or a dash of hot sauce.
If you prefer, use store-bought baked pretzels and simply warm them in the oven.
The cheese dip can be made ahead and reheated gently before serving.