Using an electric mixer fitted with a dough hook, mix flour, cocoa, caster sugar and yeast. Add egg, milk and butter. Knead on low speed for 1 minute or until combined. Increase speed to medium. Knead for 5 minutes or until a soft, sticky dough forms. Transfer to a lightly oiled bowl. Cover with greased plastic wrap. Set aside in a warm place for 1 hour or until dough has doubled in size.
Remove plastic wrap. Punch dough down. Turn out onto a lightly floured surface. Knead for 2 minutes. Divide mixture evenly into 24 portions. Roll each portion into a ball. Press 1 ball out to form an 8cm round. Spoon 1 level teaspoon Nutella onto the centre of round. Pull sides of dough up and around filling, twisting and pressing dough together to secure. Place, seam-side down, in a greased 6cm-deep, 18cm x 28cm baking dish. Repeat with remaining dough balls and Nutella. Cover with plastic wrap. Set aside in a warm place for 20 minutes.
Meanwhile, preheat oven to 180C/160C fan-forced.
Place dish on a baking tray with sides. Combine boiling water, brown sugar, extra cocoa and Nutella in a heatproof jug, whisking until Nutella has melted. Pour mixture over dough balls. Bake for 35 to 40 minutes or until bread sounds hollow when tapped and sauce has bubbled around edges of dish. Stand for 2 minutes. Dust with icing sugar. Serve with cream.