In a large bowl, mix cream cheese, powdered sugar, and vanilla together to combine until smooth. Add in the heavy cream and beat until light, fluffy and thick, about 3 minutes.
Place mini marshmallows onto a baking sheet and broil on low to toast. Add toasty marshmallows into dip and stir. Fold in nearly the entire container of sprinkles, reserving about 2 teaspoons for garnish.
Spoon into serving bowl and top with remaining sprinkles (or Pop rocks candy). Serve with any desired cookies or fruit.