In a large bowl, combine warm milk, sugar, and yeast. Let sit for 10 minutes until frothy.
Whisk in the egg and vanilla essence.
Gradually add the flour and salt, mixing until a dough forms.
Knead the dough while adding softened butter one tablespoon at a time. Continue kneading for about 10 minutes until smooth and elastic.
Divide the dough into two equal portions. Knead cocoa powder into one half and the extra tablespoon of flour into the other half.
Cover both doughs and let rise in a warm place for 2 hours, or until doubled in size.
Roll both doughs into rectangles of equal size. Place the cocoa dough over the plain dough.
Spread Nutella evenly over the cocoa layer.
Roll the dough tightly into a log and pinch the edges to seal.
Transfer the dough into a greased loaf pan and let rise for 30 minutes.
Preheat the oven to 180°C (356°F). Brush the loaf with beaten egg.
Bake for 35–40 minutes, or until golden brown and fully baked.
Cool in the pan for 5 minutes, then transfer to a wire rack to cool completely.