In a large Ziploc bag, add the powdered sugar and cake mix then shake to combine. Pour Rice Chex into a large bowl and set aside.

Melt vanilla candy melts in a medium microwave-safe bowl according to directions on the package, then pour over the cereal. Use a rubber spatula to gently fold the mixture until evenly coated.

Transfer to the large Ziploc bag, then seal and shake until the cereal is evenly coated. When the mixture is somewhat cool, add sprinkles and cookies and shake again until evenly distributed. Best served the first day it's made.