Imho, I do not believe substituting soy milk produces a bad cookie. I make a similar cookie from a practically identical recipe on 'Zaar that works just fine with soy milk. I've used unsweetened soy milk for the regular milk with no problems. I haven't tried both soy margarine AND soy milk, however, so that may be a different story. I did use Smart Balance with Flaxseed Oil spread for the margarine. Anyway, just thought I'd offer that. :)
I have made this recipe vegan millions of times. I use Earth Balance marg and whatever soymilk I happen to have, which varies. I even used to use Willow Run marg before anyone knew about hygrogenated oils were bad-so don't be frightened to substitute.
We really like these but I wish they were lower in calories. One of the best no-bake cookies that I have ever tried to make. Thanks!