In a large mixing bowl, using an electric mixer, beat the softened cream cheese until smooth and creamy, about 1-2 minutes.

Add the granulated sugar, egg yolk, vanilla extract, all-purpose flour, and optional lemon zest. Continue beating on medium speed until all ingredients are well combined and the mixture is light and fluffy, scraping down the sides of the bowl as needed. Set aside.

Preheat your oven to 400°F (200°C). Line two large baking sheets with parchment paper.

Lightly flour a clean work surface. Gently unroll one sheet of thawed puff pastry. If needed, use a rolling pin to lightly roll the pastry into a roughly 10x12 inch rectangle. Cut the pastry into 6 equal squares (approx. 4x5 inches each). Repeat with the second sheet of puff pastry, yielding 12 squares in total.

Place the pastry squares onto the prepared baking sheets, leaving some space between them. Using a small sharp knife, lightly score a 1/2-inch border around the edge of each square, being careful not to cut all the way through the pastry. This will create a frame that puffs up higher than the center.

Prick the center of each pastry square a few times with a fork to prevent it from puffing up too much. Spoon about 1 to 1.5 tablespoons of the cream cheese filling into the center of each scored square.

In a small bowl, whisk together the large egg and 1 tablespoon of water to create an egg wash. Lightly brush the scored pastry borders with the egg wash. This will give them a golden, shiny finish.

Bake in the preheated oven for 20-25 minutes, or until the pastry is puffed, golden brown, and the filling is set. If baking on two racks, rotate the baking sheets halfway through the baking time for even cooking.

Once baked, remove the danishes from the oven and transfer them to a wire rack to cool completely.

While the danishes are cooling, prepare the glaze. In a small bowl, whisk together the powdered sugar, 2 tablespoons of milk (or lemon juice), and vanilla extract until smooth. If the glaze is too thick, add more milk/lemon juice, a teaspoon at a time, until it reaches a drizzly consistency. If it's too thin, add a bit more powdered sugar.

Once the danishes are cool, drizzle the glaze generously over each one. Let the glaze set for a few minutes before serving.