In a large mixing bowl, combine all-purpose flour, granulated sugar, and salt. Add cold, cubed unsalted butter and blend until it resembles coarse crumbs.

Gradually add cold water to form a cohesive dough. Wrap in plastic wrap and refrigerate for at least 1 hour.

In the meantime, prepare the filling by creaming together softened cream cheese, powdered sugar, and vanilla extract until smooth.

Preheat the oven to 400°F (200°C) and line a baking sheet with parchment paper.

Roll the dough out into a rectangle, about 1/4 inch thick, and cut into squares of approximately 4x4 inches.

Place a spoonful of creamy filling in the center of each square, fold corners to center, and pinch to seal.

Whisk together the beaten egg and milk to create the egg wash. Brush over the top of each Danish.

Bake for 15 to 20 minutes or until golden brown and flaky.

Allow to cool for a few minutes before serving warm.