HEAT oven to 350ºF.
PREPARE cake batter as directed on package, except reduce water to 1/3 cup. Stir in 1 pkg. dry pudding mix and carrots. Drop 1 rounded Tbsp. batter, 2 inches apart, into 44 mounds on baking sheets sprayed with cooking spray; sprinkle half with nuts.
BAKE 14 to 16 min. or until toothpick inserted in centers comes out almost clean. Cool on baking sheets 2 min. Remove to wire racks; cool completely.
BEAT cream cheese and milk in medium bowl with mixer until blended. Add remaining dry pudding mix package; mix well.
SPREAD rounded 1 Tbsp. filling onto bottom side of each plain cookie; cover with nut-topped cookie.