Heat oven to 350°F. In large bowl, beat powdered sugar and butter until light and fluffy. Beat in flour, cocoa and vanilla until well blended.
On lightly floured surface, roll out dough to 3/8-inch thickness. Cut with floured 1 1/4-inch triangular cookie cutter or cut by hand with sharp knife. Place 1/2 inches apart on ungreased cookie sheets.
Bake 10 to 13 minutes or until firm to the touch. Immediately remove from cookie sheets.
Line cookie sheets with waxed paper. In small saucepan, place vanilla baking chips and shortening; cook and stir over low heat until melted and smooth.
To make each tree, dip 1 edge of 1 cookie triangle into melted chip mixture; place on cookie sheet. Dip 1 edge of second triangle into melted chip mixture; place uncoated corner over coated edge of first triangle. Dip 1 edge of third triangle into melted chip mixture; place uncoated corner over coated edge of second triangle to form tree. Repeat with remaining cookie triangles.
Drizzle remaining coating over completed trees; sprinkle with chopped candy.