Make the filling: Line a baking sheet with parchment paper. Beat the cream cheese, granulated sugar, sour cream and vanilla in a large bowl with an electric mixer on medium speed until smooth. Spoon 1 tablespoon of the filling at a time onto the parchment so that you have 12 dollops. Freeze until solid, about 2 hours.
Make the cookies: Sift together the flour, cocoa powder, baking powder, salt and baking soda in a medium bowl. 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 350 degrees F. Line 2 baking sheets with parchment.
Coat your hands generously with confectioners' sugar and scoop a heaping tablespoon of the cookie dough into your hand. Put one of the frozen cream cheese dollops in the middle of the dough and place another tablespoon of the dough on top of the cream cheese. Shape the dough around it to completely enclose the cream cheese, and then roll to coat in the confectioners' sugar. Repeat with the remaining dough and cream cheese, coating your hands in confectioners' sugar as needed.
Place the cookies on the prepared baking sheets about 2 inches apart. Bake until the cookies are firm around the edges and can be easily lifted with a spatula, 10 to 12 minutes. Let the cookies cool on the trays for 10 minutes, and then transfer to a cooling rack and cool completely.
When measuring flour, we spoon it into a dry measuring cup and level off excess. (Scooping directly from the bag compacts the flour, resulting in dry baked goods.)
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