Preheat oven to 350 degrees F. Line a cookie sheet with parchment paper; set aside. In a large mixing bowl beat shortening and butter with an electric mixer on medium to high speed for 30 seconds. Add granulated sugar, brown sugar, baking powder, salt, and baking soda. Beat until combined, scraping sides of bowl occasionally. Beat in egg, the 2 tablespoons milk, and the 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.
Drop dough by level measuring tablespoons 2 inches apart onto the prepared cookie sheet. Bake for 9 minutes. Transfer to a wire rack.
Meanwhile, in a small heavy saucepan cook and stir caramels and the 1/4 cup milk over medium-low heat until mixture is smooth. Spoon 1 teaspoon of the caramel mixture onto each cookie; tilt cookie so caramel flows to within 1/4 inch of the edges. Sprinkle with coconut; cool.