Preheat oven to 350 degrees. In a mixing bowl, whisk together flour, cornstarch, salt and baking soda, set aside. In the bowl of an electric stand mixer, fitted with paddle attachment, blend together shortening, sugar and vanilla until combine (only about 30 seconds). Stir in dry ingredients. Add milk 1/2 Tbsp at a time as needed, until dough comes together. Roll dough out between two large sheets of parchment paper, to about 1/6" thickness. Using a 2" cookie cutter, cut dough into circles then using the end of a small pastry tip cut a hole in the center of each circle. Using a large sharp knife or pastry scraper (floured as needed), slide knife under entire cookie and lift the cookie off of the parchment paper and transfer to a Silpat lined cookie sheet. Re-roll dough as needed until you've used it all. Bake cookies in preheated oven for about 10 minutes until lightly golden. Allow to cool 5 minutes on cookie sheet before transferring to a wire rack to cool.
Pour 1/2 cup desiccated coconut into a shallow bowl and set aside. Heat caramels, 2 1/2 Tbsp milk and a pinch of salt in a medium saucepan over medium heat, stirring constantly until melted and smooth. Reduce temperature to warm, add remaining 1/4 cup desiccated coconut to melted caramel and mix to combine. Leave caramel mixture over warm heat (as you coat cookies), stirring caramel occasionally. Working one cookie at a time, spread about 1 tsp caramel mixture around the top of cookie, then immediately dip caramel coated side of cookie into the bowl of desiccated coconut then set on parchment paper (or cooled cookie sheets) and allow caramel to set.
Prepare chocolate coating according to directions listed then dip bottoms of cookies (none caramel coated side) in coating and run the bottom of the cookie along the inside edge of the bowl scrapping excess coating off (you just need a thin coating). Place dipped cookie upside down (so the chocolate coating should be facing upward). Repeat process with remaining cookies. Once coating on cookies has set, flip cookies to opposite side. Pour remaining chocolate coating (rewarm as needed first) into a Ziploc bag, seal bag and cut a very small tip off one edge of the bag then drizzle chocolate coating over cookies. Allow drizzled coating to set then store cookies in an airtight container.
In a microwave safe bowl, using a fork, blend together shortening and cocoa powder. Microwave mixture in 15 second intervals on HIGH power, stirring after each interval until completely melted. Add powdered sugar and mix until well combine and smooth. Reheat as needed on 50% power for about 15 seconds, then stir.