Make the mascarpone cold foam. Place the mascarpone cheese in a microwave-safe jar or container and microwave for 5 seconds (just until it's softened).
Add 2 tablespoon heavy cream, 1 tablespoon milk, and 1 tablespoon vanilla syrup to the softened cheese, and froth together with a milk frother until smooth and ultra-creamy. Set aside.
Add the ¾ cup milk, 1 tablespoon vanilla syrup, 2 teaspoon cocoa powder, and rum extract (if using) to a small saucepan and heat over low heat. Whisk continuously until everything is well combined and the milk is warm and starting to steam (do not boil)! Remove from heat and set aside.
Brew your coffee or espresso into a large mug, then top with the warm chocolate milk mixture. Top with the mascarpone cold foam, then dust with more cocoa powder and garnish with a lady finger. Drink up!