The milk chocolate core is covered with a crispy sugar coating that creates a protective shell. It’s water-soluble, which is why it melts in your mouth. It doesn’t melt in the oven because there isn’t a lot of moisture, but some of the shells may crack over time. My thought is that the hardened shell gets more brittle when exposed to the oven's heat,  then breaks. The only way to avoid this is to press some on top after the first 5 minutes of baking, but there is more chance of them falling off.