In a large mixing bowl, combine all-purpose flour, granulated sugar, and salt. Use a pastry cutter to cut in the cold, cubed unsalted butter until the mixture resembles coarse crumbs, about 5 minutes. Gradually add cold water, mixing just until a dough forms. Shape it into a disk, wrap in plastic, and refrigerate for at least 1 hour.

While the dough chills, prepare the filling by mixing softened cream cheese, powdered sugar, and vanilla extract in a medium bowl. Beat until smooth and creamy, about 2 minutes. Optionally, fold in fruit preserves or fresh berries.

Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper. Roll out the chilled dough to 1/4 inch thick on a floured surface. Cut into 4x4 inch squares. Place a tablespoon of filling in the center of each square, fold corners toward center, and pinch to seal.

Brush each Danish with the beaten egg and milk mixture for a glossy finish. Place on the lined baking sheet and bake for 15-20 minutes until golden brown, keeping an eye on them.

Once baked, remove from the oven and cool slightly on the baking sheet for about 5 minutes. Serve warm, optionally dusted with powdered sugar or paired with a light glaze.