In a food processor, pulse pecans and sugar for 30 seconds.
In a stand mixer with the paddle attachment, cream together butter, vanilla and pecan sugar. Add flour and salt and mix just until it comes together. Wrap dough in plastic wrap and refrigerate 30 minutes. Meanwhile, preheat oven to 325°F.
Press the dough out to cover the bottom of a 9" square baking dish. Prick the dough all over with a fork or a docking roller, then bake 10-15 minutes, until golden. Allow to cool completely.
In a heavy-bottomed saucepan, heat the cream over medium heat. In a bowl, beat together sugar and egg yolks. When cream is hot but not boiling, add the cream to the egg yolks, stirring vigorously, a tablespoon at a time, until half the cream has been added. Return this mixture to the cream remaining in the pan, still stirring vigorously. Cook over medium-low, stirring constantly, until it is thick enough to coat the back of a spoon, 5-7 minutes.
Place the chocolates, butter and vanilla in a bowl. Pour the cream over them and stir until the chocolate and butter are melted and incorporated. Pour the custard into a shallow dish and place a piece of plastic wrap directly on the surface to prevent a skin from forming. Refrigerate until cool.
Beat the cream cheese with 1/2 cup confectioners' sugar until smooth.
Whip the heavy cream to soft peaks. Add the remaining confectioners' sugar and whip to stiff peaks.
Spread the sweetened cream cheese over the cookie base. Top with the custard, then with the whipped cream. Garnish with grated chocolate. Refrigerate at least one hour, or overnight, before serving.