Preheat oven to 375°F and line 2 baking sheets with parchment paper.
In a food processor, pulse together the almond paste, flour, butter, sugar, cocoa powder, baking powder, baking soda, and salt. Stop when the almond paste and butter are in coarse pieces, some as large as a dime and some as small as peas. You don't want the mixture to be too fine or the scones will be quite dense. Transfer the mixture to a large bowl.
Whisk together the milk, egg, and vanilla.
Add the wet ingredients to the dry, and stir until just combined. When the dough is just starting to come together, turn it out onto a work surface and bring it together by folding it over onto itself a few times gently and pressing down. Try not to overwork the dough! You want to keep the bits of butter cold and separate.
Divide the dough in half, and refrigerate one half while you shape the other. Press the first half into a round disc about 1 1/2" thick. Transfer the disc to one of the prepared baking sheets. Repeat with the other half.
Slice the disc into 8 wedges. (I find it helps to freeze the dough for about 20 minutes first, as the dough can be a bit sticky.) Separate the wedges slightly to allow space for them to expand as they bake.
Brush the tops with milk and sprinkle with sparkling sugar if you want—totally optional! Bake for 15-20 minutes, then let cool slightly on the baking sheet before transferring to a wire rack to cool.