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Separate egg; place yolk and white in separate bowls. Cover and chill egg white until needed. Beat butter in a large bowl with an electric mixer for 30 seconds. Add sugar and beat well. Beat in egg yolk, milk and vanilla.
In another bowl, stir together flour, cocoa powder and salt. Add flour mixture to butter mixture and beat until well combined. Wrap the cookie dough in plastic wrap and chill for 2 hours or until easy to handle.
Preheat oven to 350°F. Lightly grease a baking sheet. In a small saucepan, heat and stir caramels and whipping cream over low heat until mixture is smooth. Set aside.
Slightly beat reserved egg white. Shape the dough into 1-inch balls. Roll the balls in egg white, then in pecans to coat. Place balls 1 inch apart on prepared cookie sheet. Using your thumb, make an indentation in the center of each cookie.
Bake for 10 minutes or until edges are firm. If cookie centers puff during baking, press again with your thumb. Spoon melted caramel mixture into indentations of cookies. Transfer cookies to wire racks; cool. (If necessary, reheat caramel mixture to keep it spoonable.)
In another saucepan, heat and stir chocolate pieces and shortening over low heat until chocolate is melted and mixture is smooth. Let cool slightly. Drizzle chocolate mixture over tops of cookies. Let stand until chocolate is set.