01 - Set oven temperature to 400°F. Line a baking sheet with parchment paper.
02 - Whisk together cream cheese, sugar, and vanilla extract in a medium bowl until smooth.
03 - Lightly flour a surface and roll puff pastry sheet slightly. Cut into 8 equal rectangles and arrange on the baking sheet with spacing.
04 - Using a sharp knife, score a 1/2-inch border inside each rectangle without cutting through the pastry.
05 - Spread approximately 1 tablespoon of cream cheese filling inside each border. Top with about 2 teaspoons of cranberry sauce and sprinkle with orange zest if desired.
06 - Whisk egg and milk together. Brush the mixture along the edges of each pastry rectangle.
07 - Bake pastries for 18 to 20 minutes until puffed and golden brown.
08 - Transfer baked pastries to a wire rack and let cool completely.
09 - Combine powdered sugar, milk, and vanilla extract to make a thick glaze. Drizzle over cooled pastries before serving.