Heat oven to 400° F. Carefully unroll the dough on a lightly floured surface. Divide along the dotted lines into 4 equal rectangles.
Working with 1 rectangle at a time, gently pinch and smooth the dough to eliminate the diagonal dotted lines. Trim the dough along one side to approximate a square.
Place 1 tablespoon of cream cheese and 1 tablespoon of jam in the center of each square. Fold each corner to the center of the square, pinching them together. Transfer to a baking sheet. Bake until golden brown, 18 to 20 minutes.
Glaze
In a small bowl, mix together powdered sugar, vanilla and milk to create icing. You may need to add more milk to get the desired consistency. Drizzle icing over danishes.