For the filling, stir together the dairy free cream cheese, powdered sugar and vanilla until smooth. Scoop 14 mounds of about 2 teaspoons each onto a parchment-lined plate and freeze for 1 hour until firm.
In a medium bowl, whisk together the flour, cocoa powder, cornstarch, baking soda and salt. Set aside.
In a large bowl, beat the dairy free butter, brown sugar and granulated sugar for 2 minutes until fluffy. Beat in the egg, oat milk, vanilla, vinegar and red food coloring until the mixture is evenly red.
Add the dry ingredients and mix on low speed until a thick dough forms. Cover and chill for 1 hour, which makes the dough much easier to wrap around the filling.
Preheat the oven to 350°F and line two baking sheets with parchment paper. Scoop 3 tablespoons of dough, flatten it in your palm and set a frozen cheesecake mound in the center.Wrap the dough up and around the filling, pinch to seal and roll into a smooth ball. Place the cookies 3 inches apart and keep the remaining filling in the freezer while you work.
Bake for 11-13 minutes, until the edges are set and the centers still look soft. Let the cookies cool on the sheet for 10 minutes so the filling can set, then move them to a wire rack.Store leftovers in an airtight container in the fridge.