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In a small bowl, stir together flour and cocoa powder; set aside. In a medium mixing bowl, beat butter with an electric mixer on medium to high speed for 30 seconds. Add sugar and salt. Beat until combined, scraping sides of bowl occasionally. Beat in egg yolk, milk and vanilla until combined. Beat in as much of the flour mixture as you can with the mixer. Using a wooden spoon, stir in any remaining flour mixture. Cover and chill about 1 hour or until dough is easy to handle.
Preheat oven to 350°F. Grease a cookie sheet; set aside. Place egg white and the 1 cup chopped hazelnuts in separate small bowls. Shape dough into 1-inch balls. Roll balls in egg white, then in hazelnuts to coat. Place balls 1 inch apart on the prepared cookie sheet. Press your thumb into the center of each ball.
Bake for 10 to 12 minutes or until edges are firm. If cookie centers puff during baking, re-press with the back of a measuring teaspoon. Transfer cookies to a wire rack; cool.
For filling, in a small heavy saucepan cook and stir caramels and whipping cream over low heat until mixture is smooth. Spoon about 1 teaspoon of the filling into the indentation of each cookie.
In a small microwave-safe bowl microwave chocolate pieces and shortening on High for 30 to 45 seconds or until melted, stirring once or twice. Spoon melted chocolate onto each cookie and top with a whole hazelnut. Let stand until chocolate is set.