For the Red Pepper Jelly: Add the red bell pepper, fresno or jalapeño and apple cider vinegar to a medium/large saucepan and use an immersion blender to break down some of the pepper pieces.
Whisk in the pectin and turn the heat to medium high.
Bring the mixture to a boil for one minute, then add in the sugar slowly, whisking as you pour to prevent clumping.
Continue to cook the mixture until it reaches 220˚F / 104.5˚C, stirring occasionally.
Remove from heat and let cool for a few minutes.
Transfer the jelly into a jar or bowl, let it cool, then cover and refrigerate to cool completely. It will thicken as it cools.
For the Cheesy Thumbprint Cookies: Combine softened butter and 2 tablespoons granulated sugar.
Add the egg and mix until combined.
In a separate bowl, whisk together flour, cornstarch, and kosher salt.
Add the dry ingredients to the butter mixture and mix until combined.
Add the shredded cheddar cheese and mix until mostly incorporated with some small pieces of cheese remaining.
Add milk one tablespoon at a time until the dough is soft and workable, not dry and crumbly.
Cover and chill the dough in the refrigerator for 30 minutes.
Preheat your oven to 350˚F / 175˚C and prepare a large rimmed baking sheet with parchment paper.
Use a tablespoon to scoop out heaping tablespoon-sized portions of dough (approximately 30g each).
Shape the dough into a ball or hockey-puck shaped piece about 1.5 inches in diameter.
Place the dough on the prepared cookie sheet and use a ½ teaspoon measuring spoon or your thumb to make an indent in the center of each cookie.
Bake for 20-25 minutes, until the bottoms are golden brown and the cheese starts to ooze out and brown.
Remove from the oven and immediately use the ½ teaspoon measuring spoon to reinforce the indentation in the center of each cookie.
Transfer to a cooling rack to cool completely.
Fill each cookie with red pepper jelly and serve.
