For dough: In the bowl of a stand mixer combine 1 cup flour, sugar, yeast.
In a small saucepan, heat 1/4 cup water, butter, milk and vanilla over medium-low heat until warm (120°).
Add warm butter mixture to flour mixture. Using the paddle attachment, beat at medium-low speed until combined. Add 1 egg and beat until combined. With mixer on low speed, gradually add 1 1/2 cups flour, beating just until combined and stopping to scape side of bowl.
Switch to the dough hook attachment and beat at low speed until a soft and sticky dough forms, 5 to 7 minutes. Add up to remaining 2 tablespoons of flour, 1 tablespoon at a time if dough is too sticky. Turn dough out onto a lightly floured surface and shape into a smooth round ball.
Place dough in a lightly oiled bowl, turning to grease top. Cover and let rise in a warm, draft-free place until doubled in size.
Turn dough onto a vey lightly floured surface and gently press into an 8 x 6 rectangle. Loosely wrap with plastic wrap. Refrigerate for at least 1 hour or up to overnight.
Prepare Chocolate Filling:
In the top of a double boiler, melt chocolate and butter over medium low heat stirring occasionally, until smooth and combined. Remove from heat. Whisk in confectioner's sugar cocoa, and salt until smooth. Let cool to room temperature before using.
Spray an 8 1/2 x 4 1/2 inch loaf pan with cooking spray, and line with parchment paper, letting the excess extend over sides of the pan.
On a lightly floured surface, roll dough into a 13 x 10 inch rectangle. Spread with Chocolate Filling, leaving a 1/2 inch border on one of the long sides of dough. Sprinkle with remaining chopped chocolate. Starting at the long side opposite of the border, roll up dough, jelly-roll style, and press edge to seal. Gently lift log at each end, and stretch to 14 inches long. Place seam side down, making sure seam is off to one side instead of in the center. Using a sharp serrated knife, cut roll in half lengthwise. Turn halves cut side up and place in an X. Twist top half of X two times; pinch ends, and tuck under. Repeat with bottom half of X. Using your hands, place in prepared pan, making sure to keep cut sides up and ends tucked. Cover and let rise in a warm, draft-free place until puffed above rim 30 minutes to 1 1/2 hours. (rising times varies depending on how long it has been refrigerated)
Preheat oven to 350°F.
In a small bowl, whisk together remaining egg and remaining 1 tablespoon of water. Using a pastry brush, brush egg wash on top of dough.
Bake for 45 to 50 minutes. Cover with foil to prevent excess browning if necessary.
Remove from oven and brush with simple syrup. Let cool for 10 minutes in the pan.
Remove from pan and let cool completely on a wire rack.
*For simple syrup: In a small saucepan, bring sugar and water to a boil over medium-high heat, stirring occasionally, until sugar is dissolved. Remove from heat, and let cool slightly. Pour simple syrup over warm loaves while still in pan.