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HEAT oven to 375°F.
BEAT first 4 ingredients in large bowl with whisk 2 min. (Mixture will be thick.) Stir in COOL WHIP. Refrigerate until ready to use.
MEANWHILE, place won ton wrappers on parchment-covered baking sheets; brush with margarine. Combine cinnamon and sugar substitute; sprinkle over won tons. Bake 6 to 8 min. or until golden brown. Remove to wire racks; cool completely.
TOP each of 12 won tons with about 2 Tbsp. pumpkin mixture. Repeat layers twice. Drizzle with syrup just before serving; sprinkle with nuts.