Preheat oven to 180°C fan-forced. Grease and line a 20x30cm slice tin.
Whisk eggs and sugar on high until pale, thick and tripled in volume (about 8 minutes). Add vanilla.
Sift flour over the eggs in thirds, folding gently with a spatula. Combine melted butter and warm milk, fold in last.
Pour into tin. Bake 22-25 minutes until sponge springs back. Cool in tin 10 min, turn out to cool fully. Wrap and chill overnight.
Icing and roll
Trim sponge edges. Cut into 16 squares. Put cubes on a tray in the freezer for 20 minutes.
Sift icing sugar and cocoa into a heatproof bowl. Stir in butter and boiling water until smooth. Sit bowl over simmering water to keep liquid.
Spread coconut in a wide shallow tray. Using two forks, dip each frozen cube in icing, letting excess drip off, then roll in coconut. Place on a wire rack to set.
Leave to set for 30 min before serving. Keeps in an airtight container for 5 days.