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Preheat oven to 400°F and line a baking sheet with parchment paper.
Remove puff pastry from the freezer and let set on the counter for 5-10 minutes.
While the puff pastry is thawing a bit, combine the softened cream cheese, powdered sugar and vanilla in a small mixing bowl; set aside.
In a separate small bowl, combine the egg yolk and water; set aside.
Unfold each of the puff pastry sheets on a lightly floured surface. (Use your warm fingers to press the folds back together if they break when opened.)
Use a pizza cutter to cut the outer folds of the pastry into 10-12 strips. (See photos above for a better visual).
Divide the cream cheese mixture in the center fold of each of the puff pastries.
Spread the raspberry jam (or pie filling) over the cream cheese.
Fold the strips over the filling alternately to create a "braid."
Transfer the braids to the prepared large baking sheet and brush with the egg wash (egg yolk + water).
Place the pan of braids into the freezer for 15-20 minutes (this will help it really puff up in the oven!).
Bake for 15-17 minutes, or until golden brown.
Combine icing ingredients and drizzle over the warm pastry.
Cut into slices and enjoy this sweet pastry!