Combine flour, cocoa, and salt in bowl. With 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 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 indentation in center of each ball. Bake until set, about 12 minutes, switching and rotating sheets halfway through baking.
Microwave caramels and cream in bowl, stirring occasionally, until smooth, 1 to 2 minutes. Once cookies are removed from 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. Try not to devour them all at once.