Preheat oven to 300°. In a large bowl, cream together butter and sugar until light and fluffy, 5-7 minutes. Beat in egg yolk, vanilla and food coloring. In another bowl, whisk flour and cocoa; gradually beat into creamed mixture. Roll into 1-in. balls; roll in coarse sugar. Place 2 in. apart on parchment-lined baking sheets. Press a deep indentation in center of each with the back of a 1/2-teaspoon measure.
Bake 10 minutes. Meanwhile, for filling, beat cream cheese, sugar, egg white, vanilla and salt until blended. Reshape indentations in par-baked cookies as needed. Fill each with 1 teaspoon filling. Bake until filling is set, 10-12 minutes longer. Remove to wire racks to cool completely.