Preheat the oven to 425 degrees.
Line a baking sheet with parchment paper and set aside.
If making apple pie filling from scratch, add the water, cornstarch, sugar, cinnamon and lemon juice and bring to a boil over medium heat while whisking constantly.
Once the mixture begins to boil, stir and cook until the sauce thickens.
Add the apples to the sauce and stir to mix. Turn the temperature to low and simmer with a lid on but vented until the apples are tender. Approximately 8-10 minutes.
While the apples simmer, beat the cream cheese in a medium mixing bowl until smooth.
Add the sugar, egg yolk, vanilla and lemon juice and mix for approximately two minutes or until everything is smooth.
Gently unroll the puff pastry and using a pasta cutter or sharp knife, divide the dough into thirds along the seams and then into thirds again, widthwise to create 6 squares.
Place the squares on the baking sheet.
Fold a square in half from corner to opposite corner created a triangle with the open part of the triangle facing the top of the baking sheet.
Take a sharp knife and starting ½ inch from the top of the peak, begin to slice through the dough down along the left side of the triangle down to the bottom left corner leaving 1” of dough on the outside. (See directions)
Go back to the top of the triangle and leaving a ½ inch space between the first cut, make the second cut along the other side leaving 1” of dough on the outside.
Open the pastry square and take one corner of the dough, at the end where there is a full cut and bring it over to the opposite corner.
Take the other side up and over that piece to the other side creating a square with a pocket.
Take a Tablespoon of the cream cheese mixture and put it into the center of each square.
Then add 1-2 Tablespoons of the pie filling on top of the cream cheese.
In a small bowl, beat one egg and add 2 Tablespoons of water. Combine well.
Use a pastry brush to brush the egg wash over the visible dough.
Bake at 425 for 12-14 minutes or until golden brown. (Oven temps and times vary)
Remove to cool.
In a small bowl, combine the powdered sugar, milk and vanilla and drizzle over the baked Danishes.