Place the hook attachment in your electric mixer. When the yeast mixture is ready, place flour, cocoa powder, sugar, and salt in the small bowl and mix using a wire whisk. Warm the milk for 45 seconds and then place the warm milk, melted butter, and egg, into the stand mixer bowl. Mix for one minute and add the yeast mixture and flour mixture. Mix using the hook attachment until ingredients are incorporated. Mix for seven minutes. Note that this will be a wet dough, so take one tablespoon of flour and rub it in between your hands and sprinkle some flour on the dough for easy transfer.
Sprinkle flour on the working surface and transfer the dough and form into a ball. Place dough in a greased bowl and let sit, covered with cloth, at a warm temperature for 1 hour.
When ready, divide the dough into a round dough and divide it into twelve pieces using the dough cutter. You can also cut dough and weigh 40 grams each and using your palm flatten and fill the cream cheese or chocolate. Make sure that it is sealed. ( it is ok not to weigh the dough, just try to form equal shape bread.
Cover the dough with a damp cloth and let sit for another 30 minutes. Brush with egg wash.
Preheat the oven to 350 F and place the bread on a baking sheet and bake for twenty-two minutes.