In a medium bowl, combine confectioners' sugar and ricotta cheese. Mix until smooth. Stir in cookie pieces and set mixture aside.
In a separate bowl, whip the heavy cream until medium stiff peaks form, about 5 minutes. until blended and transfer to a piping bag or ziplock bag with the corner snipped off. Pipe the mixture into the cannoli shells and place on a wire rack.
Gently fold the cream into the ricotta sugar mixture.
Gently fold the cookie pieces and 1/2 cup of caramel sauce creating a swirl effect into mixture. Do not overmix, caramel streaks should be visible.
Transfer mixture into a piping bag and refrigerate.
Melt chocolate in a microwave safe bowl according to package instructions. Drizzle chocolate over cannoli shells. Let chocolate set before filling shells.
Just before serving, pipe mixture into shells from ends to ensure an even filling. Drizzle with caramel sauce.