Place the milk, sugar, cinnamon stick and vanilla bean in a saucepan. Heat gently on a low simmer for about 10 minutes. Remove the cinnamon stick and vanilla bean and discard.
Roughly chop the chocolate and place in a bowl over a pot of simmering water (a double boiler). Stir over a medium heat until melted.
Return the saucepan of milk mixture to the element, and bring up to a medium heat. Whisk in the melted chocolate, and continue whisking until incorporated. Add the Baileys, chilli powder and salt, and whisk until well combined.
Serve in mugs with marshmallows.
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