In a saucepan, mix milk, sugar, and vanilla extract until the sugar is completely dissolved. Turn the heat on, bring to boil, then lower the heat and simmer for 1 minute. Set it aside.
Make filling: In a food processor (whisk attachment), work cream cheese and powdered sugar until they are combined. With a spatula, scrape the bottom and sides of the bowl very well. Add the Nutella and mix well. Note: Stop the machine occasionally to scrape the sides and bottom to make sure it is evenly mixed without lumps.
Add the heavy whipping cream, and whip until the cream reaches a slightly firm consistency. The cream has to appear smooth and fluffy.
It’s time to assemble the tiramisu. Make one layer of cookies: dip them in the milk mixture one at the time, flip them over once (do it quickly, so they are soft but not falling apart). Make another layer with half or the cream mixture. Keep layering until you finish your ingredients.
With a sifter, dust the top of the tiramisu’ with cocoa powder. Note, the surface has to be covered with no cream showing underneath.
Tiramisu goes in the fridge for a minimum of 2 hours to set, or you can make it the day before and let it set overnight.