Line a baking sheet with parchment paper or a silpat. Set aside.
Place cream cheese and sugar in a medium bowl. Cream together with an electric mixer on low speed until smooth. Add egg yolks, ricotta cheese, vanilla and salt and gently mix until just combined. Set aside.
Whisk together egg and water in a small bowl. Set aside.
On a lightly floured surface, roll a sheet of puff pastry out about an inch on all sides so it measures around 10 x 10 inches. Cut pastry sheet into quarters and place pastry squares on parchment- or silpat-lined baking sheet. Spoon a tablespoon of cream cheese mixture into the center of each pastry square, followed by a heaping teaspoon of jam (optional). Gently brush the egg wash around the border of the pastry squares. To make a turnover-style Danish, fold each pastry in half completely and seal edges FIRMLY together (or else the filling will ooze out during baking). Brush top of Danish with more egg wash. To make an open-faced Danish, fold two opposite corners of the pastry together and firmly press the corners together on top of the cream cheese/jam mixture. Brush top of Danish with egg wash. Repeat with remaining sheet of puff pastry. Refrigerate unbaked Danish for 15-20 minutes.
Preheat oven to 400 degrees. Bake Danish for 18-22 minutes or until flaky and golden brown. Cool slightly and serve warm. Drizzle with icing if desired.
Icing:
Whisk together butter and powdered sugar in a small bowl and add enough milk to make it smooth. Drizzle on warm danish.
Notes
You will have cream cheese mixture left over. I froze the extra filling without any problem.Recipe adapted from Ina Garten.