Sift the all-purpose flour into a large bowl. Add the dry yeast, sugar, and salt, then mix to combine.
Pour in the lukewarm milk and melted butter, then start kneading. Knead until you have a smooth, elastic dough. Cover and let it rise for 1 hour.
Divide the risen dough into two equal parts. On a lightly floured surface, roll each part into a circle.
Sprinkle one half of each circle with the finely chopped dark chocolate, milk chocolate, and ground hazelnuts.
Sprinkle with vanilla sugar, then fold the other half of the dough over the filling. Press the edges together firmly to seal and prevent the filling from leaking.
Brush the top with beaten egg and use a fork to prick a few holes to allow steam to escape during baking.
Bake in a preheated oven at 350°F (180°C) until golden brown, about 18-20 minutes.
After baking, let it cool slightly, then dust the top with powdered sugar.
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