Prepare the filling: In a food processor, combine raisins, dates, sugar, oranges, figs, walnuts, and water. Process until the mixture is finely chopped. Set aside.
Make the dough: In a mixing bowl, cream shortening and sugar using a hand or stand mixer until light and fluffy (about 5-7 minutes). Beat in eggs, milk, and vanilla extract until combined. In a separate bowl, whisk together the flour, salt, baking powder, and baking soda. Gradually add the dry ingredients to the creamed mixture, mixing until the dough is fully combined. Divide the dough into 4 portions, cover with plastic wrap, and refrigerate for 1 hour.
Roll out the dough: Preheat the oven to 400°F. Roll out each portion of dough between two sheets of waxed paper into a 16x6-inch rectangle.
Assemble the cookies: Spread 1 cup of the prepared filling lengthwise down the center of each rectangle. Fold one long side of the dough over the filling, then fold the other side over the top. Pinch the seams and edges to seal. Cut each rectangle diagonally into 1-inch strips and place seam-side down on parchment-lined baking sheets.
Bake the cookies: Bake in the preheated oven for 10-14 minutes, or until the edges are golden brown. Let the cookies cool on the baking sheets for 10 minutes before transferring to wire racks to cool completely.
Glaze the cookies: In a small bowl, combine confectioners' sugar and enough milk to reach your desired drizzling consistency. Drizzle the glaze over the cooled cookies. Allow the glaze to set before storing.
Store the cookies: Store in an airtight container at room temperature for up to 1 week.