In French when an item is described with aux, au or à la it means the second item is a crucial or defining ingredient to the first item. In this situation chocolate is a crucial/defining ingredient to the nuts, or in fact, chocolate nuts. For another example consider 'Un sandwich au fromage' = A cheese sandwich
Right- I don't think I've ever heard of "chocolate nuts" before. Chocolate-covered nuts, yes.
When speaking french, we need to think like them. In English we say 'chocolate covered nuts' but we're speaking french.