In the bowl of a stand mixer, stir together the warm oat milk, yeast and sugar. Let it sit for 5-10 minutes until foamy.
Add the egg, melted butter and vanilla and whisk to combine. Add the flour and salt and knead with the dough hook on medium-low for 6-8 minutes, until the dough is smooth, soft and only slightly tacky.If the dough is still sticking to the bottom of the bowl after a few minutes, add more flour 1 tablespoon at a time.
Shape the dough into a ball and place it in a lightly oiled bowl. Cover and let it rise in a warm spot for 1 to 1 1/2 hours, until doubled in size.
Punch down the dough and divide it into 4 equal pieces. On a floured surface, roll each piece into a 10-inch circle.Place one circle on a parchment-lined baking sheet and spread it with 1/4 cup of the hazelnut spread, leaving a small border. Repeat with two more circles and the remaining spread, top with the last circle, and chill for 15 minutes to firm up.
Place a small glass, about 2 1/2 inches wide, in the center of the dough. Using a bench scraper or pizza cutter, cut from the glass to the outer edge to make 4 equal sections, then cut each section into 4 strips for 16 strips total.Remove the glass. Take two neighboring strips, twist them away from each other twice, then pinch the ends together to form a point. Repeat all the way around to create 8 star points.
Cover loosely and let the star rise for 30 minutes while the oven preheats to 350°F. Whisk the egg with the oat milk and brush it gently over the dough.
Bake for 20-25 minutes until deep golden brown and cooked through in the center.Let the star bread cool for 10 minutes, then sprinkle with the chopped hazelnuts and dust with powdered sugar. Serve warm for the gooiest chocolate layers.