Preheat oven to 400 degrees F.
Flatten out the puff pastry sheet and cut it into 9 pieces. Use a paring knife to score the border of each piece, about 1/2 inch away from the edge. Use a fork to poke holes in the center of each pastry.
Add the cream cheese, vanilla extract, lemon juice and sugar to a bowl. Use a hand held mixer to combine.
Spread the cream cheese mixture into the center of each pastry.
Add approximately 1 teaspoon of jam to the top of the cream cheese. You don't have to spread it out because it will melt while baking.
Whisk together the egg and water. Brush the egg wash onto the exposed part of the pastry.
Bake 13-15 minutes, until the edges of the Danishes are golden. Take out of the oven and place on a cooling rack.
Once they are cooled use a sifter to sprinkle on the powdered sugar.