In the bowl of a stand mixer fitted with the paddle attachment, add the gluten-free bread flour, sugar, instant yeast, salt and baking powder. Mix to combine.
With the mixer running on low, slowly add the water, milk, egg and melted butter. Increase the speed to medium and mix for 3 minutes. The dough will resemble thick cookie dough, this is normal.
Using an oiled rubber spatula, scrape down the bottom and sides of the bowl. Cover the bowl tightly with plastic wrap and let rise in a warm place for 45-60 minutes.
Lay a piece of parchment paper on a 12-inch pizza tray so that it overhangs a little.
Turn out the dough onto a lightly floured work surface. Divide into 4 equal pieces.
On a large piece of floured parchment paper, use a floured rolling pin to roll out one piece of dough into a thin 12-inch circle.
Dust off any excess flour, then use the parchment paper to transfer the dough to the prepared tray.
Warm the Nutella for about 30 seconds in the microwave to make it easier to spread, then spread ¼ cup over the first circle of dough, leaving nearly an inch bare around the edge.
Roll out the second piece of dough on floured parchment paper into a 12-inch circle. Use the paper to carefully flip it on top of the first piece, then spread the top with another ¼ cup of Nutella. Repeat with the third piece of dough.
Roll out the last piece of dough into another 12-inch circle and place it on top. The top layer does not have any Nutella spread over the top. Using a sharp knife or pizza cutter, cut any scraps around the edges so you have an even circle.
Place a 3-inch round object or bowl in the center and make an indent. This is the center of the star. Using a pizza cutter, cut 4 evenly spaced cuts from the center to the edge of the dough (so it looks like 4 quarter slices connected in the middle). Cut each of the four slices in half, then repeat 1 more time, so you have 16 strands in total.
Using both hands, grab two strips and twist them away from each other twice, then press the two ends together to make a point. Repeat with the remaining strands. Your star bread will have 8 points. Let the bread sit while the oven preheats.
Preheat the oven to 350°F.
In a small bowl, whisk together the egg, water and pinch of salt for the egg wash. Using a pastry brush, lightly brush the star bread with egg wash.
Bake for 30-35 minutes, until cooked through and golden brown.
Remove from the oven and cool for 10 minutes before dusting with powdered sugar. Best served warm.