In a medium bowl, whisk together the flour mix, xanthan gum, egg replacer, cocoa, baking powder, baking soda, and salt. Set aside.
In the bowl of the mixer, cream the margarine and sugar until light. Add the egg and vanilla and beat well. (Note: I don't have a heavy duty mixer, so I used a hand held one and I did have alittle trouble with the dough sticking to the beaters. So don't be discouraged if you have to keep pushing the dough off the beaters with a spatula, you aren't doing anything wrong. And don't worry I promise these cookies are well worth the trouble!).
Add the dry ingredients in 3 additions. If the dough becomes too stiff, add the milk as needed.
Shape the dough into two 10 x1-1/2 rolls. Wrap in foil and chill.Chill for about 15-20 minutes.
Cut into 1/8 slices, if you have a cookie stamp, you can at this point press in onto the sliced cookies before baking. Bake these cookies on an UNGREASED cookie sheet for 10 minutes.
Let cool for only a few minutes before removing from the cookie sheet. Cool thoroughly on a rack.
For the filling, combine confectioners' sugar, shortening, vanilla and hot water ( use enough to create a good spreading texture.).