Line a 15x10x1-inch baking pan with parchment paper; set aside. On a lightly floured surface roll dough into a 15x10-inch rectangle. Carefully transfer dough to the prepared baking pan. Cover and let stand for 10 minutes.
Meanwhile, for filling, in a small mixing bowl beat mascarpone cheese, cream cheese, and egg yolk with an electric mixer on medium speed until smooth. Beat in 1/4 cup powdered sugar and liqueur.
Spread filling in a 4-inch strip down the center of dough to within 1 inch of the ends. Sprinkle with chocolate pieces. On the long sides, make 2-1/2-inch cuts from edges toward center at 1-inch intervals. Starting at one end, alternately fold opposite strips of dough, at an angle, across filling. Lightly press ends together in the center to seal. Cover and let rise in a warm place for 30 minutes.
Preheat oven to 350 degrees F. Bake for 25 to 30 minutes or until golden. Cool in pan on a wire rack for at least 40 minutes. Before serving, sprinkle warm loaf with powdered sugar. Store any leftover loaf in the refrigerator.