Preheat the oven to 375°F and line a cookie sheet with parchment paper.
Combine cookie mix, melted butter, and egg in a large bowl, then beat with an electric mixer on medium speed until a thick dough forms.
Take rounded tablespoons of dough, coat them in the fragrant cinnamon sugar provided in the cookie mix, and place them 2 inches apart on a baking sheet. Bake for 8 to 9 minutes until the edges start to turn golden. Once done, transfer the cookies from the baking sheet and let them cool completely.
Combine the frosting and milk in a small bowl until you have a thick but pourable glaze. Transfer the glaze into a small resealable plastic bag and cut a small hole in one corner. Use the bag to pipe a border around the edge of each cookie, then dip the cookies into sprinkles for a delicious finishing touch.
Frost the top of each peanut butter cup candy with a small dollop, then place them upside down in the center of each cookie. Allow the frosting to set for about 20 minutes.