In a large bowl, beat together the cream cheese, 1/4 cup/32 grams confectioners’ sugar, the egg yolk, the salt and the vanilla until smooth. Transfer the mixture to a resealable plastic bag; set aside.
On a lightly floured surface, roll the dough out into a 12 1/2-inch square. Trim 1/4 inch off each edge. Cut the dough into nine 4-inch squares. Brush the corners of each square with a bit of the beaten egg, then fold each corner into the center and press down gently. Transfer the squares to 2 parchment-lined baking sheets.
Cut the tip off one corner of the filled plastic bag so you have a 1/2-inch hole. Use the bag to pipe the cheese filling onto the center of each dough square. Loosely cover the pastries with plastic wrap and let stand until slightly puffed, about 1 hour to 1 hour 20 minutes. Heat oven to 425 degrees.
Remove the plastic and gently brush the top and sides of the dough with the beaten egg. Bake for 10 minutes, then rotate the sheets and reduce oven temperature to 375 degrees. Continue to bake until pastries are puffed and deep golden brown, another 6 to 8 minutes.
Meanwhile, whisk together the remaining 1 cup/128 grams confectioners’ sugar and the milk. Let the Danish cool slightly on the sheet then drizzle with the glaze. Serve warm or at room temperature.
