Prepare cake batter and bake in 13x9-inch pan as directed on package. Cool completely.
Loosen cake from sides of pan with knife. Gently remove cake from pan; place on cutting board. Cut cake crosswise in half. Cut one half into 3/4-inch cubes. Wrap remaining half tightly; reserve for another use.
Beat cream cheese in large bowl with mixer until creamy. Gradually beat in 3 cups milk. Add dry pudding mixes; beat 2 min. Gently stir in 2 cups COOL WHIP.
Layer half each of the cake cubes, pudding mixture and nuts in 2-1/2-qt. serving bowl; top with layers of remaining cake cubes, pudding mixture and COOL WHIP.
Refrigerate 2 hours. About 20 min. before serving dessert, microwave caramels and remaining milk in microwaveable bowl on HIGH 2 min. or until caramels are completely melted and sauce is well blended, stirring after each minute. Let stand 15 min.
Drizzle caramel sauce over dessert just before serving; sprinkle with remaining nuts.