In a large mixing bowl, combine the flour, sugar, baking powder, and salt. Add softened butter, eggs, vanilla extract, and milk. Mix until a smooth dough forms.
Shape the dough into a round disk and divide it into four equal portions. Wrap each portion and refrigerate for at least 30 minutes to make rolling easier.
Place chopped figs, raisins, orange zest, orange juice, and toasted walnuts into a food processor. Pulse until everything is evenly chopped and blended.
Transfer the mixture to a bowl and stir in the honey, rum, and cinnamon. Mix well until the filling becomes thick and spreadable.
Set your oven to 400°F (200°C). Prepare baking sheets by lightly greasing them or lining them with parchment paper.
Having the oven fully heated before baking helps the cookies bake evenly and develop a beautiful golden color.
Remove one portion of dough from the refrigerator. Roll it into a long strip about ¼-inch thick and roughly 8 inches wide.
Cut the strip lengthwise into two narrower strips. Place a line of filling along each strip, leaving room along the edges for sealing.
Brush one edge of the dough lightly with water. Fold the dough over the filling and gently press the edges together to seal.
Cut the filled strips into bite-sized pieces, approximately 1 inch long. Arrange them on the prepared baking sheets with some space between each cookie.
Bake the cookies for 13 to 16 minutes, or until the tops become lightly golden brown.
Allow them to cool on the baking sheet for about 10 minutes before transferring them to a cooling rack to cool completely.