Make the pudding: Whisk together cocoa powder, sugar, salt, and milk in a medium saucepan over medium heat. Bring to a simmer; remove from heat.
Melt butter in a medium saucepan over medium heat. Add rice; cook, stirring constantly, until edges are translucent, 1 to 2 minutes. Add hot milk mixture; bring to a simmer, stirring occasionally. Reduce heat; simmer gently, stirring occasionally, until rice is tender and has absorbed most of the liquid, about 30 minutes.
Remove from heat. Add Frangelico and chocolate; stir until chocolate has melted. Pour into a bowl. Refrigerate until cold, about 2 hours. Stir in 1/4 cup yogurt.
Preheat oven to 300 degrees. Make the hazelnut crunch: Toss together nuts, egg white, and sugar. Spread on a rimmed baking sheet lined with a nonstick baking mat. Bake, stirring often, until nuts are golden and dry, about 15 minutes. Let cool completely on sheet on a wire rack.
Divide pudding among bowls. Top with hazelnut crunch and remaining yogurt.