In a medium bowl, sift together the flour, cocoa powder, salt, and baking powder and set aside.
Using an electric mixer set on medium-high speed, cream the butter and sugar until fluffy, about 3 minutes. Add the egg yolk, milk, and vanilla and mix until blended, about 1 minute. Add the flour mixture in two batches and beat until combined, about 1 minute. Cover the bowl with plastic wrap and refrigerate the dough for 30 minutes.
Heat the oven to 350 degrees. Line a cookie sheet with parchment paper. In a medium bowl, beat the egg white with a fork. Set aside about 1/4 cup of the pecans; put the rest on a plate. Roll 1 tablespoon of the dough into a ball, coat it with egg white, and roll it in the nuts. Repeat with the remaining dough. Put the cookies on the sheet, leaving about 3 inches between them. With your thumb, make an indentation in the center of each cookie, then reshape the outside edges, if they crack.
Bake the cookies for 10 minutes. Carefully remove them from the oven and gently press a caramel candy into each cookie. Bake until the chocolate and caramel soften, about 2-3 minutes more. Cool the cookies on a rack and sprinkle with reserved nuts.