Remove the puff pastry from the freezer and thaw according to package directions.
Prepare the cheese filling: In the bowl of a stand mixer fitted with the paddle attachment, beat the softened cream cheese in a medium bowl with the powdered sugar, egg yolk, vanilla and lemon juice until creamy. Set aside. (Alternatively, use a handheld electric mixer.)
Preheat the oven to 400F degrees.
On a lightly floured surface, roll out the puff pastry sheet to a 10x15 inch rectangle. Gently transfer it to a large baking sheet lined with parchment paper.
Using a sharp knife or pizza cutter, slice the top two corners off and discard the dough. Now, cut diagonal slits down both sides of the pastry, leaving the center uncut.
Spread the cream cheese mixture down the center of the puff pastry. Spread the jam on top of the cheese filling.
Fold the top of the pastry slightly over the top of the cheese and jam. Now, criss cross the slices of pastry over the filling. Using a pastry brush, coat the pastry dough with beaten egg and sprinkle with coarse sugar.
Bake for 20-22 minutes, until golden brown. Cool completely on the baking sheet.
To make the glaze, whisk the confectioner's sugar and milk together in a small bowl until smooth. Drizzle over the cooled danish.