Make the cookies: Pulse the oats and coconut in a food processor until evenly chopped; transfer to a large bowl. Whisk in the flour, malted milk powder, baking soda, cinnamon and salt.
Beat the butter, brown sugar and granulated sugar in a large bowl with a mixer on medium speed until fluffy, about 3 minutes. Beat in the eggs, one at a time, until smooth. Mix in the vanilla and coconut extracts. Reduce the mixer speed to low and beat in the flour mixture until just combined.
Line a baking sheet with parchment paper. Roll the dough into 1-inch balls (there should be about 36) and arrange on the prepared baking sheet. Gently press into 1/2-inch-thick rounds. Refrigerate 30 minutes.
Preheat the oven to 350 degrees F. Line 2 more baking sheets with parchment. Arrange 8 dough rounds 2 inches apart on each pan and sprinkle with coarse sugar. Keep the remaining rounds refrigerated.
Bake, switching the pans halfway through, until the cookies are just golden brown around the edges but still soft in the middle, 18 to 20 minutes. Let cool 5 minutes on the pans, then transfer to a rack to cool completely. Repeat with the remaining cookies.
Meanwhile, make the filling: Beat the butter and marshmallow cream in a large bowl with a mixer on medium-high speed until creamy, about 2 minutes. Beat in the confectioners' sugar, malted milk powder and vanilla until fluffy, about 3 minutes.
Spread 1 heaping tablespoon of filling on the flat side of half the cookies, then sandwich together with the remaining cookies. Let sit at least 30 minutes before serving.