Okay, here’s a description of what the problem is, and why I wanted to know how thick those cookies are…
The program has a step right before it prints where it goes out and takes an automatic measurement of the height of the item being worked on, so that it can focus correctly for placement of the design.
It will pick a random spot in the center of your design area to take that measurement. If it accidentally lands on one of the cookies, all will be well. If it misses and hits next to a cookie instead of directly on the center, your alignment and focus are going to be totally screwed.
So you have two choices.
One, (which might be easiest), is to simply specify the height of the cookies in the Unknown materials slot (top of left thumbnail column) AND code in the focus height into each individual Engrave operation in the manual settings. The problem with doing that this way is that it might work pretty well for one cookie top, but for a bunch of them like you are showing there, option 2 is going to give you better results.
Option 2 is to create a jig. Because the cookie tops are about 1/4" tall, you will get the best results by cutting a jig out of Thick Proofgrade material, so that you can drop the cookie tops down into the holes and they will be roughly the same height as the top of the cookies. (They’ll actually be a little taller, but it will be a lot closer than nothing.) The advantage to that is also that the lightweight cookies won’t get blown out of position by the air assist. That might be a problem.
Another advantage to using the jig is that if you include the engraving in the jig file along with the cutting lines, the results will always align absolutely perfectly. It’s a sure shot for centering designs.
Couple of mini-tutorials here on creating jigs: