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In a large bowl, combine flour, sugar, salt, and yeast.
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In a separate bowl, combine warm milk, melted butter.
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Create a well in the center of the flour mixture and pour milk mixture and egg into the center.
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With your mixer attached with the dough hook, or your hands, knead dough until it forms a ball and no longer sticks to the sides of the bowl.
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Place dough in a well greased bowl and lightly cover with plastic wrap.
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Let dough rest in a dark cool corner until it doubles in size, about 30 minutes.
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When dough has doubled in size, punch down.
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On a lightly floured surface, roll into a 16x9 inch rectangle.
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Spread softened butter over dough and sprinkle with hot cocoa powder
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Tightly roll the dough beginning with the long side. Pinch together the edges.
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Slice rolls evenly into 9 large or 12 medium sized rolls.
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Place rolls into a lightly greased 9x13 inch pan.
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Cover lightly with plastic wrap and allow to rise again while you are preheating your oven.
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Preheat oven to 375 degrees.
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Bake rolls for 15-18 minutes or until the centers are lightly golden brown in color.
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Allow to cool while making the marshmallow frosting.
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To make the marshmallow frosting, place marshmallows in a large glass microwave safe bowl. Heat them for 30 seconds, then stir until smooth. If not smooth, reheat for 10 second increments stirring after each time.
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Beat in softened butter and cream cheese until smooth. Add powdered sugar, vanilla, and salt; beat until smooth.
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Spread over rolls and enjoy!