Preheat oven to 350°.
In the bowl of an electric stand mixer cream together shortening and sugar until well combined.
Mix in the egg then blend in vanilla.
With mixer set on low speed slowly add in Kodiak Cakes mix, flour, and milk; mix until well combined.
Scrape dough out and roll dough out onto a floured surface (about 1/5-inch thick).
Cut out as many large shapes (I like stars and snowflakes) as possible using a cookie cutter.
Transfer cut shapes to baking sheet lined with a silicone baking mat or parchment paper.
Cut a smaller shape (same shape as larger) from the center of each and remove.
Re-roll remaining dough and continue cutting shapes.
Unwrap and separate hard candy into each color then place in separate small resealable bags.
Crush into bits using a meat mallet, cut end of bag.
Fill cut out centers about 3/4 of the way with crushed hard candy.
Bake cookies until set and candy center has melted, about 12 – 14 minutes.
Let cool on baking sheet until the candy has hardened.
Repeat process with remaining dough.
Store in an airtight container.