Preheat oven to 350 degrees F. Line two baking sheets with parchment paper. Whisk together the flour, cocoa, baking soda, and salt in a medium bowl, then set aside.
In a large bowl, beat the butter and sugar until light and fluffy, about 2 minutes. Add the egg, milk, and vanilla, beating again until combined, scraping down the sides of the bowl as needed.
Add the flour, cocoa, and salt, beating on low speed just until combined.
Place the sprinkles in a small bowl. Scoop a tablespoon of dough and shape it into a ball with your hands, then roll it in the sprinkles to coat, repeating until all of the dough has been used. Space the balls 2 inches apart on the parchment-lined baking sheets, then bake for 9 to 10 minutes.
Once the cookies come out of the oven, press a white chocolate hug (or a chocolate kiss, if you prefer) into the center of each cookie. The chocolate will melt but eventually reharden while maintaining the shape of the candy. Store in an airtight container up to 1 week.