In a large bowl, beat together the cream cheese, 1/4 cup confectioner's sugar, egg yolk, salt, and vanilla until smooth.
On a lightly floured surface, roll out the dough until a 12-1/2" x 12-1/2" square. Trim 1/4" off each edge. Cut the dough into nine 4-inch squares. Brush the corners of each square with beaten egg then fold each corner into the center and press down gently. Transfer the squares to 2 parchment-lined baking sheets.
Pipe or schoop the cheese filling onto the center of each dough square. Loosely cover the pastries with plastic wrap and let stand until slightly puffed (approx. 1 hour to 1 hour 20 min).
Preheat oven to 425°F
Remove plastic wrap and gently brush top and sides of the dough with beaten egg. Bake 10 min, then rotate the sheets and reduce oven temperature to 375°F. COntinue o bake until pastries are puffed and deep golden brown (approx. an additional 6-8 min).
Meanwhile, whisk together the remaining 1 cup confectioners sugar and milk. Let the Danish cool slightly othen drizzle with glaze.
Serve warm or at room temperature.