In mixer set on medium speed, beat the butter until smooth and silky. Turn the speed to low and add the pudding mix, when it is all incorporated, slowly add the cream, a little at a time. When fully incorporated bring speed up to high and beat for 5-7 minutes (the long mixing time is to beat the grit from the pudding out). Turn speed back down to low and add powdered sugar tasting along the way. When it is sweet to your taste, beat again at high speed for a good 5 minutes to really break down any graininess that you might get from the powdered sugar. Add the vanilla and bring back down to low speed and beat for a while that way to get rid of air bubbles.
Beat shortening and sugar in large bowl at medium speed until smooth and creamy. Beat in egg, milk, and vanilla until well blended. Combine flour, baking powder, and salt in separate bowl. Gradually add flour mixture to shortening mixture at low speed until well blended. Wrap dough in plastic wrap and refrigerate for 1 hr. Heat oven to 375. Roll 1/3 dough at a time in lightly floured surface to 1/8 thickness. Cut dough with 2-3” floured cookie cutters. Place 1” apart on ungreased baking sheet . Sprinkle with sugar if desired. Bake 5-9mins or until edges begin to brown. Cool 2 mins on baking sheet, then transfer to cooling rack.