In stand mixer bowl, add 1 1/2 cups flour, yeast, dry milk, sugar and salt; mix well. In saucepan or microwave-safe dish, heat water, shortening and chocolate pieces to 120-130°F (shortening and chocolate does not need to melt). Add to flour mixture. Using a paddle attachment, blend on low speed for 30 seconds. Add egg; beat on medium speed for 3 minutes.
Switch to dough hook attachment. Gradually stir in enough remaining flour to make a soft dough. Knead until smooth and elastic, about 3 to 5 minutes.(NOTE: For hand mixing: following above steps, mix ingredients in large mixing bowl using a wooden spoon or dough whisk. Knead on floured surface until smooth and elastic.)
Place dough in lightly oiled bowl and turn to grease top. Cover; let rise until indentation remains after poking dough with finger down to second knuckle, about 1-1½ hours.
Prepare filling: Combine sugar and cinnamon; set aside.
Punch down dough. On lightly floured surface, roll dough to a 12-inch square. Brush dough with melted butter. Sprinkle filling over dough. Roll up tightly. Pinch edge to seal. Cut into 12 slices. Place on greased cookie sheets, 3 to 4 inches apart. Flatten each slice with your hand (spray with cooking spray if needed) to a 4-inch diameter. Cover; let rise in warm place until almost double, about 15-25 minutes.
Preheat oven to 400ºF.
Prepare topping: Combine sugar, finely chopped pecans or walnuts and cinnamon; set aside.
After rising, cover rolls with wax paper. With rolling pin, flatten to 1/8-inch thickness. Brush rolls with melted butter. Sprinkle topping over rolls. Cover with wax paper again. With rolling pin, roll topping into rolls. Remove wax paper. Bake at 400º F for 15 to 18 minutes until crisp around edges. Remove from cookie sheets; cool on wire rack.