Preheat oven to 300 degrees F. Adjust your oven pan(s) so it's in the center. Line 1 or 2 baking sheets with parchment paper. (Depending on how many pans you want to bake at a time).
Toast pecans on an un-greased skillet over medium/low heat until fragrant. Set aside.
In the bowl of your stand mixer, cream butter and sugars until combined and fluffy. Add eggs, milk, and vanilla. Mix well. (Mixture will look curdled)
In a medium bowl, whisk together flour, cocoa powder, baking soda, baking powder, and salt. Add to creamed mixture and mix until combined.
Drop your batter by a heaping 1/2 Tbsp on your prepared baking sheet. (Or use a cookie scoop that's roughly the same size.) Dip your cookie scoop into hot water between each scoop. I fit 12 cookies on my baking sheet.
Bake in preheated oven for 10 min. While the cookies are baking, start slicing your marshmallows so you're ready to put them on the cookies.
Once the cookies have baked for 10 min, remove from oven and top each cookie with half a marshmallow, sticky side down. Barely press them into the cookie. If you press them in too much, the cookie will be flat.
Return to the oven and bake for 3-4 min. Remove the cookies and immediately top with a toasted pecan, gently pressing them into the marshmallow. Cool for 7 min before drizzling on the glaze.
While the next batch is baking, make the chocolate.
In a medium saucepan over medium/low heat, combine butter, cocoa powder, and milk. Turn heat up to medium high and bring to a boil. Boil for 1 min, STIRRING CONSTANTLY. Then, remove from the heat and cool 1 min.* Whisk in powdered sugar and vanilla. Drizzle over cooled cookies.