In a mixing bowl, whisk together the all-purpose flour, granulated sugar, and salt until well combined. Add the cold, cubed unsalted butter and blend using a pastry cutter or your fingertips until the mixture resembles coarse crumbs. Gradually mix in cold water, a tablespoon at a time, until the dough forms. Shape it into a disc, wrap it in plastic wrap, and refrigerate for at least 1 hour.

In a separate bowl, combine the softened cream cheese, powdered sugar, and vanilla extract. Use a hand mixer or a spatula to blend the ingredients until smooth and creamy, ensuring there are no lumps. For an added twist, consider folding in your favorite fruit preserves or berries to enhance the Cheese Danish Delight filling. Set aside to prepare for shaping.

Once the dough has chilled, lightly flour a clean surface and roll it out into a rectangle, about ¼-inch thick. Cut the dough into 4x4 inch squares, placing them on a parchment-lined baking sheet. Spoon a generous dollop of the cream cheese filling in the center of each square. Gently fold the corners toward the center, pinching them to seal the pastries securely.

Preheat your oven to 400°F (200°C) while you prepare the egg wash. In a small bowl, whisk together one large egg and a splash of milk until well mixed. Using a pastry brush, carefully coat the tops of each Cheese Danish Delight, ensuring an even golden finish as they bake.

Place the baking sheet in the preheated oven and bake the Cheese Danish Delight for 15-20 minutes or until they are puffed up and golden brown. Once done, remove them from the oven and let cool slightly on a wire rack before serving.