In a small bowl, stir together the cream cheese, powdered sugar, and salt until smooth and well-combined. Cover with plastic wrap and chill in the refrigerator until almost firm, about 30 minutes.
Preheat your oven to 350℉. Line a baking sheet with parchment paper or a silpat mat.
In a medium bowl, whisk together the flour, cocoa powder, baking powder, and kosher salt.
In a large bowl, use an electric mixer to beat the unsalted butter and both sugars until light and fluffy.
Add the egg, red food coloring, and vanilla extract and beat until incorporated.
Mix in the flour mixture just until combined.
Scoop heaping tablespoons of the dough and roll them into balls until you have 12 even-sized portions.
Flatten each ball into a 3½-inch circle.
Place about 2 teaspoons of the cheesecake filling in the center of each circle of dough. Bring the edges of the dough around the filling, pinching together to seal.
Arrange the cookies 3 inches apart on the prepared baking sheet.
Bake for 15 to 17 minutes.
Let cool before serving.