Preheat oven to 375 degrees F. Line 2 baking sheets with silicone liners or parchment paper. Set aside.
In the bowl of a stand mixer, cream together the butter and sugar until fluffy, about 1 minute. Beat in the vanilla until combined. Lastly, beat in the ground pecans, finely crushed potato chips and the flour and gently mix until it just about comes together. The dough may be slightly crumbly at first, but it will be moist enough to hold together if you knead it with your hands.
Using a 2 oz cookie dough scoop, scoop out a ball of dough and gently press your thumb into the center to create an indentation. Place the Rolo candy in the indentation and gently roll the cookie dough around the candy to cover it completely. Place 1" apart on the baking sheets.
Bake for approx. 10-12 minutes, rotating pans halfway through baking time to ensure even baking. Cool on the pans for about 10 minutes, then gently coat with the confectioners' sugar. Let stand until cool, then coat again with confectioners' sugar.