Dissolve yeast and 2 tablespoons sugar in 1 1/4 cups warm milk in a large bowl; let stand 5 minutes. Add margarine, 1/2 teaspoon vanilla, and egg; stir well. Stir in 3 1/2 cups flour, cocoa, and salt to form a soft dough. Turn dough out onto a lightly floured surface, and knead until smooth and elastic (about 10 minutes); add enough of the remaining flour, 1 tablespoon at a time, to prevent dough from sticking to hands.
Place dough in a large bowl coated with cooking spray, turning to coat top. Cover and let rise in a warm place (85°), free from drafts, 45 minutes or until doubled in bulk.
Punch dough down. Turn out onto a lightly floured surface; roll into a 16 x 8-inch rectangle. Brush egg white over entire surface. Combine 1/4 cup sugar and cinnamon; sprinkle evenly over dough. Starting at long side, roll up dough tightly, jelly-roll fashion; pinch seam to seal (do not seal ends of roll). Cut roll into 16 (1-inch) slices, using string or dental floss. Arrange slices, cut sides up, in a 13 x 9-inch baking pan coated with cooking spray. Cover and let rise 30 minutes or until doubled in bulk.
Preheat oven to 350°; bake rolls at 350° for 20 minutes. Combine powdered sugar, 2 tablespoons milk, and 1 teaspoon vanilla; stir well. Drizzle over rolls.