Line a 13x9 inch baking pan with aluminum foil leaving overhangs on long sides. Set aside. Beat softened butter until creamy. Beat in sugar, salt and egg yolk until combined. Add finely shredded cheddar and flour; stir to combine. Press dough evenly into the bottom of prepared pan. Chill for 30 minutes.
Preheat oven to 350 degrees F. Brush chilled dough with beaten egg and sprinkle with coarsely shredded cheddar cheese. Bake for about 25 minutes until top is light brown. Cool in pan on wire racks. In a large heavy saucepan, cook and stir caramels and milk over medium low heat until caramels are melted. Pour caramels over cooled cheddar crust. Place pan in freezer while preparing chocolate layer.
In the now-empty saucepan, cook and stir chocolate, whipping cream and 3 tablespoons of butter over low heat until smooth. Pour chocolate mixture over caramel layer. Chill until set, about 2 hours. Cut into bars.