Make the pudding:
In a saucepan, combine milk, cream, sugar, cocoa powder, and coffee granules over medium heat.
Whisk until the mixture starts to simmer and thicken.
Whisk the egg yolks:
In a bowl, whisk egg yolks. Gradually add the hot milk mixture to the yolks, whisking constantly.
Return the mixture to the pan and cook until thickened. Remove from heat and let it cool.
Prepare the mascarpone layer:
In a separate bowl, whisk mascarpone, powdered sugar, and heavy cream until smooth.
Assemble the layers:
Dip ladyfingers in coffee (and coffee liqueur if using) and layer them at the bottom of serving glasses.
Spoon a layer of pudding over the ladyfingers, followed by a layer of mascarpone cream. Repeat layers.
Chill and serve:
Refrigerate for at least 4 hours before serving. Dust with cocoa powder before serving.