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Step 1
Heat a medium nonstick skillet over medium-high heat. Put the mini marshmallows in the skillet with a flat side down. Cook, undisturbed, until golden brown on the bottom, about 2 minutes. Let cool in the skillet.
Step 2
Slice a thin piece off both ends of 6 of the Swiss roll cakes to reveal the swirls (discard the end pieces). These will be the logs. Next, slice off the end of one of the remaining cakes on a 30-degree angle, then slice the cake into thirds, making parallel cuts to the end angle and finishing by cutting the second end on the same angle. If the chocolate coating falls off, that's okay; discard it. Discard the ends. Repeat with another cake. These angled pieces will be the branches. (Note that you will have 2 unused cakes, in case you mess up; if you don't mess up, you can just eat them.)
Step 3
Cut out six 3-inch parchment squares. Flip a water glass upside down and place one of the parchment squares on the flat bottom. Place a cake log on the parchment. With a butter knife or small offset spatula, spread a thin layer of frosting over the chocolate coating. Run the tip of the knife or spatula down the length of the log to create wide ridges. Stick the end of one branch onto the side of the log and spread frosting over the chocolate coating (or where the chocolate coating would be). Stick 3 of the marshmallows, browned-side up, onto the side of the yule log. Carefully slide the parchment with the yule log off of the glass; set aside. Repeat with the remaining logs, branches, frosting and marshmallows to create 5 additional yule logs.
Step 4
Freeze the yule logs on their parchment squares until the frosting is set, at least 30 minutes and up to 3 days (in an airtight container). To serve, transfer each log to a plate, remove the parchment and arrange 2 sprigs of rosemary under each one. Dust with confectioners' sugar.