In a small bowl, whisk the egg yolk, 2 tbsp. coconut milk, and xanthan gum until smooth. Ensure that all the xanthan gum is fully dissolved into the mixture and that no lumps are left behind. Set aside.
In a saucepan over low heat, add the almond milk, erythritol, and salt. Stir and bring the mixture to a light simmer until all the erythritol is dissolved. Remove the saucepan from the heat.
Slowly drizzle 1/3 cup of the milk into the bowl with the egg yolk mixture while whisking continuously. Ensure that the mixture has no lumps.
Then, slowly pour the bowl content into the saucepan while continuously whisking until a thick and uniform mixture forms. Then, transfer the saucepan back to the stovetop over medium heat. Continue whisking for about 2 minutes until the mixture is very thick and large bubbles are formed on the surface.
Take the saucepan off the heat. Add in the room-temperature cream cheese, sour cream, vanilla extract, and cacao powder and whisk until the mixture is smooth.
Divide the pudding into individual glasses or jars, cover, and transfer them to the fridge. Let them chill for 30 minutes before serving. Garnish with chocolate shavings or Keto granola if desired.