PREHEAT oven to 350° F.
BEAT butter in large mixer bowl on MEDIUM-HIGH speed for 30 seconds. Add Brownie Mix, flour and cayenne pepper slowly; mix well on LOW speed for about 15 seconds. Add egg; beat on LOW speed for about 15 seconds until dough forms. Do not overmix. Refrigerate dough for 30 minutes.
ROLL dough into 1 1/2-inch balls. Place on ungreased baking sheets about 2 inches apart. Using back of 1/2 teaspoon measure or the end of a wooden spoon, make a 1/2-inch deep hole into each ball. Fill each hole with caramel.
BAKE for 10 to 11 minutes or until top of cookie is no longer shiny. Sprinkle caramel centers with a little sea salt. Cool on baking sheets for 2 minutes; remove to wire racks. Store in single layers in tightly sealed container.