In microwavable bowl, microwave candy melts and shortening uncovered on Medium (50%) 1 minute, then in 15-second intervals, until melted; stir until smooth. Remove filling from cookies. Using sharp knife, poke small hole in center of each cookie. Insert lollipop sticks through holes. Dip base of 1 cake ball cone into melted candy. Dip tip of 1 lollipop stick about 1/2 inch into melted candy and insert stick into 1 cake ball no more than halfway. Press cookie to base of cake ball. Repeat. Return to cookie sheet. Refrigerate 5 minutes. Remove from refrigerator a few at a time. Dip cake balls in melted candy; tap off excess. Poke opposite end of stick into foam block. Let stand until set.