Step 1: Prepare the Dough

1. In a large bowl, combine the flour, sugar, salt, and yeast.
2. In a separate bowl, mix the warm milk, heavy cream, and egg. Gradually pour this mixture into the dry ingredients.
3. Knead the dough by hand or with a stand mixer fitted with a dough hook until it comes together. Add the softened butter and continue kneading for 8-10 minutes, or until the dough is smooth and elastic.
4. Place the dough in a lightly greased bowl, cover with a clean kitchen towel, and let it rise in a warm place for 1-2 hours, or until doubled in size.

Step 2: Make the Chocolate Filling

1. In a small bowl, mix the cocoa powder, sugar, melted butter, and milk until a smooth paste forms. Set aside.

Step 3: Shape the Dough

1. Punch down the risen dough and divide it into two equal parts.
2. Roll out one piece of dough into a rectangle about 12×8 inches. Spread half of the chocolate filling evenly over the dough.
3. Roll the dough tightly from the shorter side to form a log. Repeat with the other half of the dough and filling.
4. Place the logs side by side and twist them together to form a braid. Transfer the braided dough to a greased 9×5-inch loaf pan.

Step 4: Second Rise

1. Cover the loaf pan with a towel and let the dough rise for another 45-60 minutes, or until puffy.

Step 5: Bake the Bread

1. Preheat your oven to 350°F (175°C). Brush the top of the dough with a little milk or an egg wash for a golden crust.
2. Bake for 30-35 minutes, or until the top is golden brown and the bread sounds hollow when tapped.
3. Allow the bread to cool in the pan for 10 minutes before transferring it to a wire rack to cool completely.