Preheat oven to 350 degrees F (175 degrees C). Line 2 baking sheets with parchment paper.
Combine flour, baking soda, 1/2 teaspoon salt, and 1/4 teaspoon cinnamon in a bowl.
Combine butter, brown sugar, white sugar, eggs, molasses, and 1 teaspoon vanilla extract in a separate bowl; beat with an electric mixer until creamy and smooth. Stir in flour mixture until dough comes together. Stir in oats.
Drop cookie dough onto the lined baking sheets, a few inches apart, using a 2-teaspoon cookie scoop.
Bake in the preheated oven until edges are starting to brown, 7 to 10 minutes. Transfer to a wire rack to cool completely.
Stir hot water and 1/4 teaspoon salt together in a small bowl until salt is dissolved. Let cool, about 5 minutes.
Combine marshmallow cream, shortening, confectioners' sugar, 3/4 teaspoon vanilla extract, and 1/4 teaspoon cinnamon in a large bowl; beat with an electric mixer on high speed until fluffy. Mix in cooled salt water.
Spread some of the filling on the back of 1 cooled cookie. Add another cookie to form a sandwich. Repeat with remaining filling and cookies.