For dessert sauces, stirred custards, ice cream, pudding, and the like, the question more comes down to personal taste. Dutch process cocoa has a more intense "chocolatey" flavor while natural cocoa looks lighter in color and tastes slightly astringent. But since you're not dealing with any chemical leaveners, your choice of cocoa won't have much impact on the dessert's texture. To see just how the differences play out, I made a couple versions of three desserts—chocolate cake, chocolate pudding, and hot cocoa—one version with Dutch process cocoa, the other with natural. Here's how they fared.