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In a stand or a handheld mixer, cream together the butter and sugar.
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While still mixing on low, add in the egg and vanilla extract.
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Slowly add in the flour ½ cup at a time, then add in the cornstarch, baking soda, and salt.
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Fold in the crushed pretzels with a plastic spatula or spoon.
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Cover the mixing bowl with plastic wrap and let it chill in the refrigerator for at least 2 hours.
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Preheat oven to 350 degrees and line a cookie sheet with parchment paper or a silicon baking mat.
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Roll some of the dough into your hands and place one unwrapped Rolo on top and roll more cookie dough on top. Make sure the Rolo is completely covered and place on cookie sheet.
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Bake for 10-12 minutes. They will look like they need more baking time, however, they do not.
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Let cool on cookie sheet for 5 minutes, then transfer to a cooling rack.
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Drizzle caramel sauce on top.