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1. Preheat oven to 350 degrees F. Line a cookie sheet with parchment paper; set aside.
2. In a large bowl, combine shortening and peanut butter. Beat with an electric mixer on medium to high speed for 30 seconds. Add brown sugar, cocoa powder, baking powder, and baking soda. Beat until combined, scraping bowl occasionally. Beat in egg, milk, and vanilla until combined. Beat in as much of the flour as you can with the mixer. Using a wooden spoon, stir in any remaining flour. Cover and chill about 1 hour or until dough is easy to handle.
3. Place finely ground peanuts in a small bowl. Shape dough into 1-inch balls. Roll balls in peanuts to coat. Place 2 inches apart on the prepared cookie sheet.
4. Bake in the preheated oven for 10 minutes. Immediately press a chocolate star into the center of each cookie. Cool on cookie sheet for 2 minutes. Transfer cookies to a wire rack; cool. Makes about 48 cookies.