For meringue, preheat oven to 130C. Combine icing sugar and cocoa and sift onto baking paper sheet. Whisk eggwhite in an electric mixer until frothy and, with motor running, gradually add caster sugar, whisking until soft peaks form. Add cocoa mixture and whisk until stiff and shiny (7-8 minutes). Transfer to a piping bag fitted with a 1cm plain nozzle and pipe 34cm lengths onto baking paper-lined oven trays. Bake until firm and crisp but not coloured (2 hours). Cool. Meringues will keep stored in an airtight container for 2 to 3 days.
Meanwhile, for syrup, combine sugar, vanilla and 280ml water in a saucepan, stirring to dissolve sugar. Bring to the boil, cook over high heat for 2 minutes, then cool completely.
For sponge, increase oven to 180C. Whisk eggs and sugar in a large heatproof bowl over a saucepan of simmering water until thick (10-15 minutes). Remove from heat, transfer to an electric mixer and whisk until cool (8-10 minutes). Gradually fold in flours, spread over a baking paper-lined 34cm x 24cm baking tray and bake until golden and cake springs back when lightly touched (10-15 minutes). Turn onto a damp tea towel, cover with another damp tea towel and set aside.
For mousseline cream, whisk cream to firm peaks and refrigerate until required. Whisk egg yolks and sugar in an electric mixer until pale (5-10 minutes), then gradually whisk in cornflour. Meanwhile, bring milk to the boil in a saucepan and pour over egg mixture. Whisk well, return to pan and stir continuously over medium heat until very thick (5-10 minutes). Remove from heat. Squeeze excess water from gelatine and add to pan, whisking to combine. Transfer to a bowl, cover closely with plastic wrap and cool completely. Whisk in butter, Grand Marnier and a third of the cream, whisking well to combine, then fold through remaining cream and set aside.
Remove tea towels from sponge and place on a work surface with longest side facing you. Brush with syrup (you may have some remaining), spread a third of the mousseline cream over, roll sponge to form a log, transfer carefully to a platter and spread remaining mousseline cream over. Arrange meringues along log to cover, dust with cocoa and icing sugar and top with candied walnuts.