When the puff pastry is done chilling, pre-heat your oven to 400 degrees.
While the puff pastry chills (if you're making homemade) combine the cream cheese, sugar, egg yolk, lemon juice and vanilla in a bowl. Blend together until there is a smooth texture and everything is well combined. I'd make this just before the puff pastry is ready. You don't want it sitting around since it has egg in it.
Once the puff pastry is ready, cut our your squares for the pastry and lay them on a cookie sheet with parchment paper.
Add a spoonful of filling to each puff pastry square. Top with as many blueberries and you can fit. Usually about five or six.
Combine your egg and water and whisk it together. Using a basting brush, lightly baste just the pastry with your egg wash.
Bake at 400 degrees for 15-18 minutes. My oven takes 18 minutes to cook through and give them that golden brown color. Watch your's since oven times vary. You want the pastry to be golden brown.
While your Blueberry Danish cooks, make your glaze by combining the milk and the powdered sugar. Whisk until you get a gorgeous sugary, creamy glaze.
When the Blueberry Danish is done. Allow to cool for about 5 minutes and then drizzle on the glaze.
Serve immediately. You can store them in an airtight container for 24 hours and reheat in the microwave. BUT, these are best served fresh.