Cut the thawed puff pastry sheets into rectangles (cut in rows of 3 then in half - so 6 from each sheet). Place them on a parchment lined baking sheet with a little space between each one.
Use a butterknife to gently score a border around each rectangle.
In a small bowl, mix the cream cheese, sugar, and vanilla until smooth.
Spoon the cream cheese mixture into the center of each rectangle and spread with a spatula.
Add a large spoonful of strawberry jam on top of the cheesecake filling and spread around slightly.
Add an egg to a small bowl and whisk. Brush the egg along the edges of each pastry.
Bake for 12–14 minutes, or until the pastries are puffed and golden brown. Remove from oven and let cool slightly.
Mix the powdered sugar and milk until smooth, then drizzle over the warm pastries. Serve immediately, or let them cool and enjoy.
