MICROWAVE caramels and 3 Tbsp. milk in microwaveable bowl on HIGH 1 min. or until smooth, stirring after 1 min. Pour 1/3 cup sauce into small microwaveable bowl; refrigerate until ready to use. Pour remaining sauce into crust; top with nuts.
BEAT pudding mix and 1 cup milk in medium bowl with whisk 2 min. Stir in COOL WHIP. Spoon into crust. Freeze 4 hours or overnight.
SPOON apple pie filling over pie. Microwave reserved caramel sauce on HIGH 30 sec. or until warmed; stir. Drizzle over pie. Let stand 15 min.