Preheat your oven to 400°F (200°C).
In a mixing bowl, combine the cream cheese, granulated sugar, and vanilla extract. Beat until smooth and creamy.
On a lightly floured surface, roll out each sheet of puff pastry and cut each sheet into four squares.
Place a generous spoonful of the cream cheese mixture in the center of each square and top with fruit preserves.
Fold the corners of each square toward the center and pinch to seal.
In a small bowl, whisk together the egg and water. Apply the egg wash over each danish.
Place danishes on a parchment-lined baking sheet and bake for 15-20 minutes until golden brown.
Prepare the glaze by mixing the powdered sugar, milk, and vanilla extract until smooth.
Drizzle the glaze over warm danishes and serve.
