Preheat the oven to 350 degrees. Prepare a large baking sheet with parchment paper.
Whisk together the flour, baking soda, and salt. Set aside.
Beat the butter and medium speed for 5 minutes. Scrape down the sides. Add the sugar and continue beating for 5 to 7 minutes or until fluffy.
Add the egg and vanilla extract, beating until evenly combined. Add the flour mixture and beat until mixed.
Slowly add the milk to the dough as the mixer runs, adding just enough to soften the dough.
Using a small (1 tablespoon) cookie scoop, portion the cookie dough and shape into balls. Roll each ball in the colored sugar or sprinkles, if desired. Place on the baking sheet about 1 inch apart.
Bake for 8 to 10 minutes or until the cookies are puffed and the edges are set.
Cool the cookies on the baking sheet for 2 to 3 minutes before pressing one candy into the center of each cookie.
Transfer to a wire rack and allow the cookies to cool completely. The candies will look like they are melting but do not disturb them and they will resolidify in the correct shape.
If desired, place the candy melts in a microwave-safe bowl. Microwave for 1 minute and stir well so the candy continues to melt with the residual heat.
If needed, add to the microwave again, stirring vigorously every 15 seconds until melted.
If the candy melts are too thick, add coconut oil or vegetable shortening a little at a time until you reach your desired consistency.
Transfer the melted candy into a piping bag and drizzle over the cookies. Allow to set completely before storing.