In a large bowl, beat the mascarpone and powdered sugar just until combined.
Add the cold heavy cream and whip until smooth, thick, and spreadable. Divide the cream into 3–4 portions (for layering).
Briefly dip each Maria biscuit into the warm milk (a quick dip only), then arrange a single layer in a 20×20 cm pan.
Melt the Nutella using a double boiler (or short microwave bursts), stirring until drizzle-able.
Spread one portion of cream over the biscuit layer. Drizzle a little melted Nutella over the cream.
Repeat: biscuit layer + cream + Nutella drizzle until everything is used (about 3–4 layers). Finish with cream on top and a final Nutella drizzle.
Refrigerate for 3–4 hours (or overnight) until set. Slice and serve.