Over a large mixing bowl, sift together the dry ingredients: almond flour, confectioner's sugar, cinnamon and nutmeg; set aside. Add the egg whites and granulated sugar into a mixer bowl and whisk on high speed just until stiff peaks form. Add the formed meringue to the dry ingredients. Using a large spatula, fold and mix the dry ingredients with the meringue, folding until the mixture reaches a flowing stage and settles back down on itself within 15 seconds.
Transfer the macaron batter into a pastry bag tipped with a large round tip. Line 2 large baking sheets with parchment paper and pipe even sized dollops of the batter onto the paper, spacing an inch apart. Once all cookies are piped, tap the pan against a hard surface to level the cookies and release any trapped air bubbles. Sprinkle the tops of the cookies with more ground cinnamon. Allow the cookies to stand at room temperature for 1 hour, allowing a thin shell to form on the outside.
Preheat oven to 320-325F. If you know your oven bakes at a higher temperature, set at 320F. Bake the cookies for 16-18 minutes, just until the edges are set. When cookies are baked properly, they will peel right off the parchment paper. Allow the cookies to cool on the paper for 5 minutes before transferring to a cooling rack to cool completely. Pair the cookies up according to size.
Prepare the cream cheese filling. Combine softened cream cheese with softened butter; beat until light and fluffy. Add the cream, vanilla and salt and mix again. Add the confectioner's sugar last and beat again until the filling is fluffy. Transfer the filling to a pastry bag and pipe onto the cookie shells.
Add a drop of caramel sauce in the center of each cookie, then top with the second half. Set the cinnamon roll macarons into an airtight container and into the refrigerator for at least 1 to 2 days. When ready to enjoy, bring them up to room temperature.