Beat butter, sugar, egg yolk, milk and vanilla in medium bowl until fluffy. Stir together flour, cocoa and salt; gradually add to butter mixture, beating until blended. Refrigerate dough at least 1 hour or until firm enough to handle.
Heat oven to 350°F. Lightly grease cookie sheet or line with parchment paper. Shape dough into 1-inch balls. With fork, beat egg white slightly. Dip each ball into egg white; roll in nuts. Place on prepared cookie sheet. Press thumb gently in center of each cookie.
Bake 10 to 12 minutes or until set. Meanwhile, prepare VANILLA FILLING. Remove wrappers from chocolate pieces. Remove cookies from cookie sheet to wire rack; cool 5 minutes. Spoon about 1/4 teaspoon filling into each thumbprint. Gently press chocolate piece in center of each cookie. Cool completely. About 2 dozen cookies.
VANILLA FILLING: Combine 1/2 cup powdered sugar, 1 tablespoon softened butter or margarine, 2 teaspoons milk and 1/4 teaspoon vanilla extract in small bowl; beat until smooth.
VARIATION: Omit egg white and chopped nuts. Roll balls in granulated sugar. Bake as directed. Top with VANILLA FILLING and pecan or cherry half.