Combine flour, cocoa, and salt in a bowl. With an electric mixer on medium-high speed, beat butter and sugar until light and fluffy, 2 minutes. Add egg yolk, milk, and vanilla and mix until incorporated. Reduce speed to low and add flour mixture until just combined. Wrap dough in plastic wrap and refrigerate until firm, 1 hour.
Adjust oven rack to upper-middle and lower-middle positions and heat oven to 350 degrees F. Line 2 baking sheets with parchment paper. Whisk egg whites in a bowl until frothy. Place pecans in another bowl. Roll dough into 1-inch balls, dip in egg whites, then roll in pecans. Place balls 2 inches apart on prepared baking sheets. Using 1/2-teaspoon measure, make an indentation in center of each ball. Bake until set, about 12 minutes, switching and rotating sheets halfway through baking.
Microwave caramels and cream in a bowl, stirring occasionally, until smooth, 1 to 2 minutes. Once cookies are removed from the oven, gently re-press existing indentations. Fill each with 1/2 teaspoon caramel mixture. Cool 10 minutes, then transfer to wire rack to cool completely.
As cookies cool, make the glaze. In a small microwave-safe bowl, melt 2 ounces of chocolate with Crisco for 45 seconds. Stir. if not completely melted, continue to microwave in 10 seconds, 50% power intervals. When cookies are cooled drizzle warm glaze with a fork over cookies.