Arrange the puff pastry rectangles on a large, ungreased cookie sheet leaving at least 1 inch of space between each rectangle.

In a small bowl, combine the cream cheese, 2 tablespoons of the sugar, and the vanilla extract. Spoon equal amounts of the filling into the center of each pastry rectangle. Spread it onto the dough within the inside border.

In a small bowl, beat the egg and water together. Use a pastry brush to apply a thin layer of the egg wash to the outside border of each pastry. Discard any leftover egg mixture.

In a small bowl, combine the powdered sugar and heavy cream (milk can be substituted for cream, but will make the frosting thinner). The consistency should be somewhat thick, but still thin enough to drizzle. If the consistency is too thick, add a little more cream; if too thin, add more powdered sugar.