Combine water and sugar in a saucepan over medium heat. Bring to a boil, whisking until sugar is dissolved. Whisk in cocoa, pumpkin pie spice, cayenne pepper and salt. Simmer, whisking occasionally, until slightly thickened about 3 minutes.
Remove from heat and add vanilla, then cool (syrup will continue to thicken as it cools). Syrup can be made ahead and refrigerated until ready to use.
Preheat broiler to high. Place marshmallows on a sprayed sheet tray, broil for about 1 minute until golden brown. Remove from the oven and set aside.
Adult S'more Milkshake:
Combine toasted marshmallows, chocolate and vanilla ice creams, chocolate liqueur, vanilla vodka and vanilla extract in a blender. Blend until smooth and creamy.
Rim each glass in the chocolate sauce, followed by graham cracker dust. Pour milkshake into prepared glasses. Garnish with a toasted marshmallow.