Heat oven to 350 degrees F. Coat 10-cup Bundt pan with nonstick cooking spray.
Beat cream cheese, egg, sugar, flour and vanilla in bowl. Stir in candy-coated chocolates.
Mix flour, sugar, cocoa, salt and baking soda in large bowl. Add oil, vinegar, vanilla and water; beat until blended.
Pour almost half the batter into prepared pan. Spoon filling in center. Cover with remaining batter.
Bake in 350 degree F oven 1 hour or until cake cracks on top and shrinks from sides of pan. Cool in pan on rack 30 minutes. Invert cake onto rack; cool.
Stir sugar and 3 tablespoons milk in small bowl until combined. If too thick, add remaining milk. Spoon glaze over cake, letting it drizzle down sides. Let dry slightly. Melt semisweet chocolate and oil in glass measuring cup in microwave. Drizzle on top of glaze. Sprinkle with colored candy-coated chocolates. Makes 12 servings.