Make the caramel cream (dulce de leche): remove the label from the can of sweetened condensed milk, place the closed can upright in a tall saucepan, and cover completely with water.
Bring the water to a gentle boil, then reduce heat to maintain a simmer and cook the can for 3 hours, topping up with boiling water as needed to keep the can submerged at all times.
Carefully remove the can from the water and let it cool completely before opening; the contents will be thick, caramel-colored dulce de leche.
Meanwhile, combine the flour, baking powder, salt, and sugar in a mixing bowl and stir to blend evenly.
Add the room-temperature butter, eggs, lemon zest, and vanilla; mix and knead until a homogeneous dough forms. If the dough is crumbly, add 1 tablespoon of water and knead again until it holds together.
Cover the dough and refrigerate for 30 minutes to firm up.
Divide the chilled dough into small balls sized for your walnut molds and press or shape them into the molds so each half is filled evenly. If you don't have molds, roll small balls and flatten into round cookies for sandwiching later.
Bake the filled walnut molds or flattened cookie halves until golden brown. Timing will vary by oven and mold—watch for even golden color. Remove from the oven and let cool slightly.
While still warm but manageable, trim the cookie edges and reserve the trimmings; they will be mixed into the caramel filling.
Open the cooled can of dulce de leche and transfer to a bowl, then mix in the reserved cookie trimmings to create a thicker filling.
Fill one half of each walnut cookie with the caramel-trimmings mixture, then join with a matching half to form a filled cookie.
Optionally dust the assembled cookies with powdered sugar or cocoa, then cover and let rest for at least 24 hours so the cookies soften from the filling before serving.