Lay the puff pastry sheets onto a lightly floured surface, and cut each pastry into 6 rectangles. (You will have 12 rectangles total.) Place the pastry rectangles onto the parchment-lined sheets, leaving about 1 inch between them. Place the trays in the refrigerator to chill while you make the cream cheese mixture.

In a medium bowl, beat the cream cheese, sugar, and ½ teaspoon vanilla extract using an electric mixer until light and fluffy.

Spread about 1 tablespoon of the sweet cream cheese over the center of each pastry rectangle, leaving a ½-inch perimeter around the edge. Place about 2 tablespoons of cherry pie filling over the top of the cream cheese filling.

In a small mixing bowl, whisk the egg and water. Brush the edges of each pastry with egg wash. Bake the danishes for 15-20 minutes or until puffed and golden.

While the danishes cool, make the icing. Whisk the sifted powdered sugar, ½ teaspoon vanilla extract, and 1-2 tablespoons of milk (or water) until a glaze forms. Drizzle glaze over each cooled danish. Let the icing set before serving.