Spread 1 tablespoon chocolate hazelnut spread evenly over 6 tortillas, leaving 1-inch border all around. Stir together sugar, cinnamon and cayenne pepper; sprinkle evenly over chocolate hazelnut spread. Top with marshmallows, chocolate chips and shortbread cookies. Cap with remaining tortillas; press together lightly.
Melt half of the butter in large skillet set over medium heat; cook quesadillas, in batches, for 1 to 2 minutes per side or until golden and filling starts to ooze, adding remaining butter as needed.
Cut into wedges and serve immediately.
Serve with a drizzle of dulce de leche or dollop of whipped cream, if desired.