Heat oven to 375°F. Let 1/2 roll of cookie dough stand at room temperature 10 minutes to soften. (Refrigerate 1/2 roll cookie dough for another use.) In large bowl, break up cookie dough. Add cream cheese; beat on medium speed with electric mixer until smooth. Set aside.
Unroll 1 pie crust; roll into 12-inch round. Using 4-inch round cookie cutter, cut into 8 rounds, rerolling dough as necessary. Repeat with second and third crusts.
Spoon scant 1 Tbsp. cookie dough mixture on half of each round; flatten slightly. Bring dough over filling; press edges with fork to seal. Cut small slit on top of each empanada; place on ungreased cookie sheets. Brush tops with beaten egg.
Bake 12 to 16 minutes or until golden brown. Cool 2 minutes. Remove from cookie sheets to cooling racks. Cool completely, about 15 minutes.
Meanwhile, in small microwavable bowl, microwave peanut butter chips and 2 Tbsp. of the shortening on High 1 minute to 1 minute 30 seconds, stirring every 30 seconds, until smooth. Dip 1 corner of each empanada into melted chips on an angle, creating a diagonal line. Place on waxed paper; let stand 10 minutes or until coating is set.
Meanwhile, in another small microwavable bowl, microwave chocolate chips and remaining 2 Tbsp. shortening on High 1 to 2 minutes, stirring every 30 seconds, until smooth. Holding undipped corner, dip the peanut butter-coated empanadas into melted chocolate on opposite angle so that some peanut butter coating is still visible. Refrigerate 10 minutes or until chocolate is set. Sprinkle with powdered sugar. Store covered in refrigerator.