Whisk the dry ingredients. Whisk the flour, cocoa powder, and salt together in a medium bowl and set aside.
Cream the butter and sugars. In the bowl of an electric mixer, beat the butter and sugars together until light and fluffy, about 5 minutes.
Mix in the wet ingredients. Mix in the egg yolk only, milk, and vanilla extract until just combined.
Add the flour mixture. Pour the flour mixture into the mixing bowl and continue to mix until a thick paste-like dough forms. Cover and place in the fridge for 30 minutes to chill.
Prepare the cookie dough. Give the chopped pecans a quick pulse in a food processor until they form smaller bits. Transfer the pecans to a small bowl. In another bowl, beat the egg white until frothy. Roll 1-inch-sized dough balls, coat them in the frothy egg white, and then dredge in chopped pecans, pressing them onto the dough so they stick.
Arrange the cookies. Place the covered dough balls onto a baking sheet with a silicone baking mat or parchment paper. Using a small measuring spoon press an indentation into the middle of each dough ball. Bake. Bake at 350°F for 10-12 minutes or until just set; avoid over-baking to ensure cookies remain pleasantly soft as they cool. Once the cookies are done baking gently press the indentation in the center again.
Melt the caramels. Combine caramels and water in a microwave-safe bowl. Microwave in 30-second intervals, stirring after each, until the caramel is melted (approximately 1-2 minutes). Skip this step if you're using caramel sauce. Add the melted caramel. Drizzle the melted caramel (or caramel sauce) into the indented cookies using small spoonfuls.
Drizzle the chocolate. Place the chocolate into a microwave-safe bowl and melt it in 30-second intervals, stirring after each one until the chocolate is melted. Pour the chocolate into a small zip-top bag and cut a small snippet off the end. Use to drizzle the chocolate on top of each cookie.