Make the cookies: Whisk the flour, malted milk powder, baking soda, cinnamon and salt in a medium bowl; set aside. Pulse the oats and almonds in a food processor until coarsely ground; set aside.
Beat the butter with the brown sugar and granulated sugar in a large bowl with a mixer on medium speed until light and fluffy, about 3 minutes. Beat in the eggs, one at a time, then beat in the vanilla. Reduce the mixer speed to low; beat in the flour mixture until just combined. Add the oat mixture and beat until just combined.
Line 2 baking sheets with parchment paper. Scoop 1/4-cup balls of dough (about 24), about 2 inches apart, onto the prepared baking sheets. Freeze until firm, at least 1 hour.
Preheat the oven to 350 degrees F. Bake the cookies until just golden and crisp around the edges, 15 to 17 minutes. Let cool 5 minutes on the baking sheets, then transfer to a rack to cool completely.
Make the filling: Beat the butter with the confectioners' sugar and malted milk powder in a large bowl with a mixer on medium-low speed until combined. Reduce the mixer speed to low; add the milk and vanilla and beat until just combined. Increase the mixer speed to high and beat until light and fluffy, at least 5 minutes. (Add more milk if the filling is too thick; add more confectioners? sugar if it?s too thin.) Sandwich the filling between the cookies.
Malted milk powder differentiates this from the usual oatmeal cookie. Grinding the oats is essential to getting the right texture.