Beat cream cheese in large bowl with mixer until creamy. Gradually beat in milk.
Add dry pudding mix; beat 2 min.
Whisk in COOL WHIP.
Spoon into resealable plastic bag; cut small corner from bottom of bag. Pipe about 1 Tbsp. pudding mixture into each of 24 paper-lined mini muffin cups; stand pretzel in each cup. Freeze 2 hours or until firm.
Peel liners off bonbons. Melt dipping chocolate as directed on package; stir in peanut butter until melted. Dip bottom halves of bonbons in chocolate, then in nuts.