Preheat oven to 375F and line a baking sheet with parchment paper.
In a small bowl, whisk together flour, cocoa powder, baking powder, baking soda and salt, then set aside.
In a large bowl, cream together the butter and sugar until fluffy, then beat in the egg whites, followed by the applesauce, buttermilk, vanilla extract and red food coloring. Add additional coloring, if needed, to reach desired color. Keep in mind that the color will dim slightly with baking, but I try to shoot for a burgundy/brown color.
Stir in flour mixture until batter is smooth and no streaks of flour remain.
Drop batter two tablespoonfuls at a time onto the prepared baking sheet, forming 2-inch in diameter rounds. Bake for 10 minutes, until set but not browned. Cookies should spring back when lightly touched, like a cake.
Allow to cool for a few minutes on the baking sheet, then remove to a wire rack to cool completely.
Beat together mascarpone and cream cheese until well combined. Beat in vanilla and milk. Add in confectioners sugar, scraping down the bowl as you go. When it has all been incorporated, beat on high speed for 1-2 minutes, until icing is very smooth and thick, but not stiff. Add more confectioners sugar, if necessary.
Spread filling between pairs of cooled cookies.