Stir together first 5 ingredients in a large bowl; cut in shortening with a pastry blender or fork until crumbly. Stir in egg, 1/2 cup water, and vanilla. Spread mixture into a lightly greased aluminum foil-lined 8-inch square pan.
Bake at 350° for 35 to 38 minutes or until center is set. Remove from oven; spread with caramel sauce. Sprinkle with marshmallows and pecans, and bake 6 to 8 more minutes.
Microwave chocolate morsels in a glass bowl at MEDIUM (50% power) 1 minute; stir until smooth. Drizzle over warm brownies. Cool and cut into squares.
