In a mixing bowl, beat the mascarpone, powdered sugar, and cold heavy whipping cream together on high speed until thick and smooth. Do not overwhip.
Divide the cream mixture into 3 portions for even layering.
Pour the milk into a shallow bowl. Dip each biscuit briefly in milk and arrange a layer in a baking dish. Spread one portion of cream over the biscuits. Repeat the layers until all biscuits and cream are used, finishing with a cream layer on top.
Melt the Nutella over a double boiler (steam bath) until pourable, then pour and spread it gently over the top cream layer.
Refrigerate for 2 hours. Slice into squares and serve cold.