Stir heavy whipping cream and Alessi Caffe Espresso together in a bowl.
Meanwhile, in a separate medium bowl, beat cream cheese with an electric mixer until smooth and creamy.
Add mascarpone cheese and beat until smooth. Add powdered sugar and vanilla extract; beat on low speed until combined. Add heavy cream and espresso mixture and increase speed to high and beat until soft peaks form – do not over beat.
Place in a serving bowl and dust with cocoa powder using a small fine mesh strainer. If not serving immediately, cover dip before sprinkling with cocoa powder and refrigerate.