In a large bowl whisk together the egg yolks and the sugar until pale yellow and thickens up.
Combine the whole milk, heavy cream and 1 vanilla bean, sliced in half lengthwise in a saucepan. Heat the mixture just until it starts to bubble along the edges. Do not allow the mixture to boil. Remove from the heat.
Remove the vanilla bean and scrape out the seeds with the tip if a small knife and add the seeds back into the milk mixture. Discard the vanilla bean shell.
While whisking the egg mixture add in about a cup of the warm milk mixture and combine together. Then add in the rest of the egg mixture to the milk. Heat the mixture slowly to 175 to 180 degrees F. The custard should be thickened and coat the back of a wooden spoon. Do not allow the custard to simmer.
Strain the custard through a fine mesh sieve, cover and refrigerate until well chilled. When chilled fold in the cream cheese, red food coloring, pecans and marshmellows. Chill again. Follow the instruction on your ice cream maker to finish the gelato.