Place the first seven ingredients in a food processor; cover and process until finely chopped. Set aside., In a large bowl, cream shortening and sugar until light and fluffy. Beat in the eggs, milk and vanilla. Combine the flour, salt, baking powder and baking soda; gradually add to creamed mixture and mix well. Divide dough into four portions; cover and refrigerate for 1 hour., Roll out each portion between two sheets of waxed paper into a 16-in. x 6-in. rectangle. Spread 1 cup filling lengthwise down the center of each. Starting at a long side, fold dough over filling; fold the other side over the top. Pinch seams and edges to seal. Cut each rectangle diagonally into 1-in strips. Place seam side down on parchment-lined baking sheets. , Bake at 400° for 10-14 minutes or until edges are golden brown. Cool for 10 minutes before removing from pans to wire racks to cool completely. Combine confectioners' sugar and enough milk to achieve desired consistency; drizzle over cookies. Store in an airtight container.