Prep cookie sheet. Line a baking sheet with parchment paper or non stick silicone baking mat. Set aside.
Combine dry ingredients. Whisk together the flour, cocoa powder, baking soda, and salt in a mixing bowl. Set Aside.
Cream butter and sugar. In bowl of your stand mixer with paddle attachment, beat together the butter and sugars on medium high speed until light and fluffy, about 2 to 3 minutes. Scrape down bowl as needed.
Add egg and vanilla. Add the egg and beat to incorporate, scraping down the bowl as needed. Beat in vanilla until combined.
Add dry ingredients. Gradually add the dry ingredients beating just until combined. Do not overmix.
Scoop and chill Using a 1-inch cookie scoop, scoop a ball of dough, and place on the cookie sheet. Flatten slightly and place a Rolo candy in the middle. Place more dough on top. Roll the cookie into a nice round shape making sure none of the candy is showing. Continue with the remaining dough. Chill the dough for at least 30 minutes, up to to 24 hours.
Bake the cookies. When ready to bake, position a rack in the center of the oven, and preheat the oven to 350°F (177°C). Bake for 10-12 minutes until edges are set and middles are puffy but set. Remove cookies from the oven and allow to cool on the cookie sheet for 5 minutes before transferring to a wire rack to cool completly. Top with a sprinkle of sea salt before serving.