Combine the milk, vanilla pod and seeds, cocoa powder and sugar in a saucepan. Bring the mixture to a simmer over a moderate heat, then remove from the heat and allow to infuse to one side.
Soak the gelatine leaves in cold water for a few minutes, then remove the leaves and squeeze the water out from them. Add to the milk mixture and stir until dissolved. Strain the milk into a jug. Divide between 4 individual square ramekins, cover and leave to cool to room temperature.
Transfer to the fridge after cooling, leaving them to set for 1-2 hours. When ready to serve, remove the panna cottas from the fridge ahead of serving time. Place the panna cottas on serving plates in the centre, upside down. Use a hot cloth to warm the outsides of the ramekins to help loosen them.
Remove the ramekins to leave the panna cottas in place in the centre of the serving plates. Top with a tablespoon of marmalade and dust with cocoa powder before serving.