Heat oven to 400°F. Line cookie sheets with parchment paper. Set aside.
Combine sugar, ½ cup butter, egg and vanilla in bowl. Beat at medium speed, scraping bowl often, until well mixed. Reduce speed to low; add flour, cocoa, baking soda and baking powder alternately with milk, beating well after each addition.
Drop dough by slightly rounded teaspoonfuls, 2 inches apart, onto parchment paper-lined cookie sheets. Bake for 6-8 minutes or until top springs back when touched lightly. Cool completely.
Combine all filling ingredients in small bowl. Beat at low speed, scraping bowl often, until creamy.
Spread 1 level teaspoon filling onto bottom-side of cookie; top with second cookie, bottom-side down. Squeeze together gently. Repeat with remaining cookies.
