In a large bowl, whisk together the flour, sugar, and salt until well combined. Cut in the cold butter until the mixture becomes crumbly, resembling small peas. Gradually add cold water until a dough forms. Chill in the refrigerator for at least 1 hour.

While the dough chills, soften the cream cheese. In another bowl, mix the cream cheese, powdered sugar, and vanilla extract until smooth and creamy. If desired, fold in fruit preserves or fresh berries for added flavor.

Preheat your oven to 400°F (200°C). On a floured surface, roll out the dough into a rectangle. Cut into 4x4 inch squares. Place a dollop of the cream cheese filling in the center of each square. Fold the corners of the dough towards the center to create a pocket, sealing tightly.

In a small bowl, beat the egg with milk to create an egg wash. Brush each Danish with this mixture to achieve a shiny, golden finish as they bake.

Arrange the filled pastries on a parchment-lined baking sheet. Bake for 15-20 minutes, or until they turn golden brown and flaky. Allow to cool slightly before serving.