In a bowl, combine the egg, milk, and orange juice. Whisk to combine and set aside.
Add the mascarpone cheese, chocolate liqueur, cinnamon, melted chocolate, and confectioners’ sugar to a separate metal bowl. Use a mixer and blend together until combined.
Spread a generous amount of the mascarpone mixture (about 2 tablespoons) over half the panettone slices. Top with the remaining slices.
Place the French toast sandwiches in a baking dish so they are snug against each other.
Pour the egg mixture over the tops of the sandwiches. Cover tightly with plastic wrap and refrigerate for about 2 hours, or over night.
Preheat the oven to 350 degrees F.
Transfer the French toast sandwiches to a baking sheet lined with parchment paper.
Bake for about 10 minutes on one side, then flip and bake for another 10 minutes.
Remove from the oven and serve warm with the orange syrup.