Prepare a bain-marie by adding a bit of water to a small pot/saucepan and placing a bowl on top. Make sure that the water isn't touching the base of the bowl. Place the pot over medium heat and let it come to a simmer.
While the water heats up, remove the bowl from on top of it and add the egg yolks and sugar.
Place the bowl onto the pot again and reduce the temperature to low while whisking constantly with a metal whisk. Keep whisking until it becomes pale and thickens to ribbon stage. It's similar to what we do for a hollandaise sauce. Be careful that the temperature isn't too high so as to scramble the egg yolks. If you feel that it's heating up too much, remove the bowl from the heat and whisk very quickly to cool it down. If your mix still has sugar granules when you're done, don't worry, they will dissolve when refrigerated. Transfer the mix to another bowl to cool it down quicker. Wair for it to cool down to room temperature completely (it's important), it should take about 10 minutes.
Whip the cream and mascarpone cheese at low speed to get them incorporated. When this happens, increase the speed to medium and beat them until it thickens. Be careful not to curdle it, don't take your eyes off of it.
Add about ¼ of the mascarpone to the yolks and fold them together with a spatula. Add this new mix back to the mascarpone and mix everything using folding motions with a spatula.
Pour the mix onto the tres leches base.
Dust the top with cacao powder and refrigerate for at least 8 hours or ideally 24 hours.
Cut the dessert in 6 and serve.