There are two separate questions here:
why do the crumbs clump together?
why does the clump form in the centre of the cup?
The answer to (1) is discussed in my answer to Why does a cork float to the side of a glass?. Assuming the crumbs are relatively hydrophilic, so the contact angle of water on them is less than $\pi/2$, the curvature of the water meniscus between two crumbs will pull them together. The result is that all the crumbs are pulled into a single aggregate.
The answer to (2) is harder. I would have guessed that the lowest energy configuration was for the aggregate to move to the edge of the cup, just as the cork moves to the edge of the glass in the question I linked above. Had you stirred the milk before dunking the Oreo's? If the milk was still rotating the crumbs would have moved to the centre of the dimple simply because it's lower than the edges. I'm sure the aggregate would eventually move to the centre of the cup, but once it had formed at the centre this motion would be slow unless you disturbed the cup.