Toast the milk powder: Add the milk powder to a dry skillet over medium-low heat. Stir constantly until it's golden brown and smells toasty, about 5–8 minutes. Watch it closely so it doesn't burn. Remove from the heat and let it cool completely.
Make the ice cream base: Beat the softened cream cheese until smooth. Mix in the toasted milk powder. Slowly whisk in the heavy cream and whole milk until smooth and well combined.
Add the remaining ingredients: Whisk in the sugar, vanilla, mashed bananas, instant pudding mix, and crushed cookies until smooth. Cover and refrigerate for at least 1 hour.
Churn: Pour the chilled mixture into an ice cream maker and churn according to the manufacturer's instructions until it reaches a soft-serve consistency.
Layer and freeze: Spoon a layer of ice cream into a freezer-safe container, then add a layer of vanilla wafer cookies. Repeat the layers, ending with ice cream. Gently swirl with a knife, smooth the top, and press parchment paper or plastic wrap directly onto the surface. Freeze for at least 4 hours, or until firm, before serving.