In a saucepan, combine milk, cream, sugar, and cinnamon. Heat over medium heat, stirring, until small bubbles appear along edges of pan and sugar has dissolved. Cover; set aside off the heat to steep 2 hours.
Put chocolate and chipotle in a heatproof bowl and set aside. In a bowl, whisk egg yolks until blended. Return steeped milk mixture to medium heat to warm. Drizzle milk mixture into yolks, whisking constantly, then pour milk-egg yolk mixture back into saucepan. Cook over medium heat, stirring constantly, until mixture thickens, 2 to 4 minutes. Do not boil.
Remove from heat and strain through a fine-mesh strainer set over bowl of chocolate. Add chile powder and vanilla, then whisk until chocolate has melted and mixture is smooth. Cover and chill until cold.
Pour chilled custard into an ice cream maker and freeze according to manufacturer's instructions. Transfer ice cream to an airtight container and store in the freezer until ready to make milk shakes. You will have about 1 generous quart; plan to use it within 1 week.
To make milk shakes, in 2 equal batches, combine ice cream, tequila, and ice cubes in a blender. Process until ice cubes are completely incorporated, 1 to 1 1/2 minutes. Stir batches together, mixing well. Pour into glasses to serve.