In a small saucepan set over medium heat, stir together the butter and 1 cup of milk until melted. Remove from the heat, then set aside to cool until lukewarm.
Add the flour, yeast, sugar and salt to a stand mixer bowl, then whisk to combine.
Attach the dough hook to the stand mixer and turn it on to low speed, then pour in the warm milk and one egg. Turn up the speed to medium-low and mix the dough for 6-7 minutes
Grease a large bowl with a thin layer of oil and add the dough. Turn the dough over so that the top also has a bit of oil, then cover with plastic wrap or a clean dish towel. Let the dough rest for one hour, or until it doubles in size. (See note.)
Assemble the bread
Line a baking sheet with parchment paper.
Punch down the dough down, releasing the air. Place on a lightly floured work surface and divide into 4 equal-sized pieces.
Using a rolling pin, roll each piece into a thin 10-inch circle. Place one circle onto the baking sheet.
In a small bowl, microwave the Nutella for 15-20 seconds to thin it out. Top the dough on the baking sheet with 1/4 cup of Nutella, spreading it into a thin, even layer but stopping an inch before the edge all the way around. Repeat with the second and third pieces of dough. Place the 4th circle on top (there won’t be any Nutella on this layer).
Using a pizza cutter or knife, cut any scraps around the edges so you have an even circle. Place a 3-inch ramekin in the center and lightly press down to make a small indent.
Using a pizza cutter or knife, cut the dough into 16 even strips from the edge of the indented circle to the end of the dough (see photo). Take a strip of dough in each hand and twist them away from each other twice, then press the two ends together to make a point. Repeat this process until you have 8 points of dough.
Cover with plastic wrap and let the dough rest for 20 minutes.
While the dough is resting, preheat the oven to 350°F, placing an oven rack on the center shelf.
Whisk together an egg with 1 tablespoon of milk. Brush the top of the dough with the egg wash, then bake for 22-24 minutes, turning the pan after 11 minutes, or until golden.
Let cool a few minutes before dusting with powdered sugar. Best served warm.
Notes
You can optionally use an unheated oven or the microwave to help the dough rise. Bring 1-2 cups of water to a boil, place in a bowl, and carefully set on an oven shelf or off to one side of the microwave. Add the covered bowl of dough and close the door. The warmth and steam will help the dough rise.