Combine first 3 ingredients in a small saucepan; stir with a wire whisk. Bring to a simmer over medium heat, stirring constantly. Add chocolate; reduce heat to low, and cook, stirring constantly, until chocolate melts. Let cool to room temperature, stirring occasionally. Remove and discard vanilla bean. Pour mixture into a freezer-proof container. Cover and freeze 3 hours or until slushy.
Combine milk mixture, ice cream, and nutmeg in container of an electric blender; cover and process until smooth, stopping twice to scrape down sides. Pour into glasses, and serve immediately.