Start by creaming the softened butter and sugar together on medium speed until light and fluffy. Add the milk and vanilla extract and mix well. In a separate bowl, whisk the flour, baking powder, and salt together, then slowly mix into the butter mixture. Once combined, wrap the dough into a flat disc and chill it for at least 30 minutes until firm.
While the dough chills, preheat your oven to 350°F (180°C). Spread shredded coconut on a parchment-lined baking sheet and toast for 10–15 minutes, stirring frequently until golden brown. Set aside to cool. Then, roll out the chilled dough on a lightly floured surface to about ⅛ inch thick. Use cookie cutters to cut round shapes and remove the center holes to form rings.
Bake the cookies for 10–12 minutes until lightly golden. Cool completely on a wire rack. Meanwhile, melt the caramels with heavy cream until smooth, then stir in the toasted coconut. In another bowl, melt the chocolate with vegetable oil until glossy. Dip the bottoms of the cookies in chocolate and place on parchment paper. Top each with a spoonful of the caramel-coconut mixture, then drizzle with remaining melted chocolate. Allow to set completely at room temperature or refrigerate for about 30 minutes.