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 pkg.; stir in peanut butter until melted. Dip bottom halves of bonbons in chocolate, then in nuts. Let stand until chocolate is firm. Keep frozen.