Separate egg; place yolk and white in separate bowls. cover and chill egg white until needed. In a medium bowl stir together flour, cocoa powder, and salt; set aside.

In a large mixing bowl beat butter with an electric mixer on high speed for 30 seconds. Add sugar. Beat until combined, scraping sides of bowl. Beat in egg yolk, milk, and vanilla until combined. Beat in flour mixture on low speed until combined. cover and chill for about 1-2 hours or until dough is easy to handle.

Preheat oven to 350 degrees. Lightly grease a cookie sheet; set aside.

Lightly beat the reserved egg white. Place hazelnuts in a small bowl. Shape dough into 1-inch balls using a small cookie scoop. Roll balls in egg white, then in hazelnuts to coat. Place balls 1 inch apart on the prepared cookie sheet. Press you thumb into the center of each ball. Bake for about 10 minutes, or until the edges are firm. If cookie centers puff during baking, re-press with the back of a spoon.

For filling, in a small heavy saucepan cook and stir caramels and sweetened condensed milk (or heavy whipping cream over low heat until mixture is smooth. Set aside.

Spoon filling into the indentation in each cookie. transfer to a wire rack; cool. (If necessary, reheat filling to keep it spoonable. )

In another small saucepan cook and stir chocolate pieces and shortening over low heat until melted; cool slightly. Drizzle cookies with melted chocolate. Let stand until set.