Scrape vanilla bean seeds with a paring knife into a medium saucepan; add milk and vanilla bean. Heat over low heat until steaming, about 10 minutes.
Meanwhile, whisk egg, sugar, cornstarch, malt and salt in a medium bowl until smooth. Gradually whisk in hot milk, then return mixture to pan.
Cook the milk mixture, whisking constantly, over medium heat, until it thickens and comes to a simmer, 3 to 5 minutes. Strain through a fine sieve into a bowl. Discard vanilla bean. Place a piece of plastic wrap directly on pudding. Refrigerate until cold, 4 hours or overnight.
Just before serving, peel and dice banana. Place in a small bowl and toss with Cognac and lemon juice. Stir into pudding.
To assemble, divide cookie cups among 8 plates and spoon in pudding. Drizzle 3 tablespoons chocolate sauce around each cup. Top pudding with chocolate curls, if desired. Serve immediately.
Note: Malt powder is available in supermarkets. Look for it near the powdered milk and instant-breakfast drinks.
Tip: To make chocolate curls: Place a block of chocolate (2 ounces or larger) on wax paper and microwave on medium-low for 15 seconds. Turn chocolate block over and microwave for 10 to 15 seconds longer, or until chocolate has softened slightly but has not started to melt. Use a swivel-bladed vegetable peeler to shave off curls. If the chocolate gets too hard to shave easily, warm it again.