In a large mixing bowl, sift together flour, cocoa powder, and baking powder. In another bowl, whisk eggs, sugar, and melted butter until smooth. Gradually add dry ingredients and milk, mixing until smooth. Allow to rest for 10 minutes.

While the dough rests, combine softened cream cheese and powdered sugar in a mixing bowl. Beat until smooth, then add vanilla extract and chilled heavy cream. Whip until fluffy and holds peaks.

On a floured surface, roll out the dough into a rectangle, spread filling evenly, roll tightly, and slice into 1-inch sections.

Preheat the oven to 350°F (175°C), line a baking sheet with parchment. Bake slices for about 15-20 minutes until golden brown and firm.

Remove from oven, cool on a wire rack for 10 minutes, slice to serve warm or store in an airtight container.