Preheat the oven to 350 degrees. Melt the butter and chocolate together in a small saucepan, stirring constantly (or in the microwave in 30 second intervals at 50 percent heat). Set aside.
In a large bowl, combine the sugar, eggs, sour cream, vanilla extract, and the chocolate mixture. Stir to incorporate.
In another bowl, mix the cocoa powder, baking powder, cinnamon, cayenne pepper, salt, and flour. Add the dry ingredients into the wet ingredients, stirring until just mixed.
Portion the dough into golf-ball size pieces and place on parchment lined baking sheets. Create a small dent in each dough ball. Fill each with the Dulce de Leche from a piping bag or a zip-top bag with the corner snipped off.
Bake for 12 minutes. Remove to a cooling rack to cool before serving.