Line 2 baking sheets with parchment paper (or Sil-Pat); set aside.

In a large bowl, beat butter on medium speed until creamy. Add sugar, cocoa powder, baking soda, and salt. Mix until well combined.

Mix in the vanilla and egg. Scrape the sides of the bowl as needed. Mix in the flour. Dough should not be sticky.

Fill a small bowl with sprinkles.

Measure out dough by level tablespoons. Roll dough into a ball between your palms into a ball. Roll dough in sprinkles until coated. {I found it helped to gently drop the dough ball into the sprinkles to press them into the dough.} Place sprinkle coated ball onto baking sheet. Repeat with remaining dough. Place in refrigerator for 30 minutes.

Preheat oven to 375 degrees F.

Bake for 12 minutes. Cool on baking sheet for 2 minutes. Remove cookies to wire rack and cool completely.

Beat butter and powdered sugar in a large bowl with a hand mixer on low speed. When almost incorporated, add vanilla and beat on high speed until light and fluffy.

Transfer to a piping bag and fill cookies, or fill by spreading frosting on cookies with a small spatula.

Insert lollipop sticks into filling so that cookies stand on their side. Eat and be happy!