Beat together the cream cheese, confectioners' sugar, egg yolk, salt, and vanilla in a large bowl until smooth. Transfer mixture to a sealable plastic bag and set aside.
Roll the dough into a 12½-inch square on a lightly floured work surface, Trim ¼-inch off all 4 edges. Cut the dough square into 9 squares (3 across, 3 down). Brush all 4 corners on each square with the beaten egg. Fold each corner to the middle, pressing down gently. Move pastry to parchment-lined baking sheet.
Pipe the cream cheese into the center of each pastry by cutting a ½-inch hole in the bottom corner of the plastic bag with cream cheese filling. Loosely cover the pastries with plastic wrap and let stand on the counter for around 1¼ hours. Preheat oven to 425°F (220°C).
Bake - Remove plastic and brush the top and sides with egg wash. Place a teaspoon of fruit jam, if using, in the center of the cream cheese filling. Place both pans in oven and bake for 10 minutes, Reduce heat to 375°F (175°C). Bake until pastries are puffed and a deep golden brown, another 6 to 8 minutes.
Glaze slightly cooled pastries by whisking the confectioners' sugar together with the milk. Drizzle glaze over pastries and serve warm or at room temperature with hot coffee or cold milk.