1. Preheat oven to 400 degrees.
2. Lay frozen puff pastry sheet on a clean work surface and allow to thaw for 10 minutes.
3. While you are waiting for it to thaw, you can make the cream cheese filling. Using an electric mixer, beat the sugar into the cream cheese. Add the heavy cream and vanilla and mix until smooth. Set aside.
4. Unfold the puff pastry and cut it into four equal parts. When you unfold it, sometimes it will break on the creases which is fine. Then cut your four parts into quarters, so you have 16 rectangles or squares.
5. With a sharp knife, score an inner rectangle as shown. You don’t want to cut all the way through. This helps the puff pastry rise around the filling, and creates a little wall so the filling doesn’t escape.
6. Place about 1 teaspoon of the filling onto the center of each puff pastry. Top with a few small dots of the jam, and swirl it around with a toothpick. Don’t worry about being precise with your swirling because you really won’t be able to tell after baking.
7. In a small bowl, beat the egg with 1 tablespoon of water and brush only the edges with a pastry brush. This adds a pretty sheen to the finished pastry. Sprinkle the edges with the sparkling sugar if desired.
8. Bake for 13-14 minutes. They will puff up, and the edges should be golden. Remove from the oven and transfer to a cooling rack. Allow them to cool completely before drizzling with icing.

For the Icing

1. In a medium bowl, whisk powdered sugar with 1 tablespoon of water. Add more water a tiny bit at a time until you have reached the desired consistency. Add almond extract and whisk. Transfer the icing to a small Zip-loc bag, seal, and cut off the tiniest tip of the bottom corner. Drizzle over the cooled danishes.