For the cookies: Sift together the flour, cocoa powder, baking powder, salt and baking soda in a medium bowl, then set aside. Whisk together the granulated sugar, butter, buttermilk, food coloring, vanilla and eggs in another bowl. Fold the flour mixture into the sugar mixture with a rubber spatula until smooth. Cover the bowl with plastic wrap and refrigerate until chilled, about 30 minutes (it will still be soft).
Preheat the oven to 375 degrees F; line 2 baking sheets with parchment.
Put some confectioners' sugar in a shallow bowl. Scoop the chilled dough with a tablespoon and drop into the confectioners' sugar to completely coat. Transfer to one of the prepared baking sheets and position the dough balls about 3 inches apart; they will spread to about 3 inches in diameter once done. Bake until the cookies are slightly firm to the touch with no dark spots and dry on top, 12 to 14 minutes. Let cool on the baking sheet about 10 minutes; the bottoms should just barely lift off the baking sheet and the cookies will still be slightly soft.
While the first batch of cookies are baking, scoop and coat another batch of dough and transfer to the second baking sheet. Bake the second batch while the first batch is cooling. Repeat with the remaining dough.
For the filling: Using a stand mixer with the paddle attachment, cream the confectioners' sugar, cream cheese, butter and vanilla until no lumps remain and the filling is smooth.
When the cookies are cool, spread 1 tablespoon of cream cheese filling on the bottom (flat sides) of half of the cookies. Top each with one of the remaining cookies, bottom (flat side) facing in.
The cookies will keep in an airtight container in the refrigerator for up to 5 days.