Combine milk and cream in a heavy-bottomed saucepan over medium-low heat. Cook, stirring occasionally, until mixture reaches 170°F. Remove from heat and whisk in cocoa powder. Next, whisk in chopped chocolate until mixture is smooth and chocolate has melted.
Add egg yolks to a medium heat-proof bowl and whisk until smooth. Slowly add sugar, whisking constantly, until mixture thickens. Gradually add milk and chocolate mixture to egg yolk mixture, whisking constantly. Return contents of bowl to saucepan and cook over low heat, stirring frequently with a wooden spoon, until mixture reaches a temperature of 185°F and custard coats the back of spoon. (Don't allow the mixture to boil!)
Place a mesh strainer on top of a second heat-proof bowl. Pour custard mixture through strainer and cool to room temperature, stirring every 5 minutes. Once mixture has cooled, cover and refrigerate for at least 4 hours.
Freeze gelato according to manufacturers instructions. Add ½ cup of caramel and ½ cup of pretzels in last 5 minutes of the churning process or fold in after churning has completed. (Personally, I prefer folding the add-ins after churning has stopped, especially something like caramel, which has a tendency to disappear.)
Transfer gelato to a sealed container and freeze at least 2 hours before serving. Top with remaining pretzel pieces and caramel sauce.
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