Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
On a lightly floured surface, roll out each sheet of puff pastry to about 1/8 inch thick. Cut each sheet into 4 squares.
In a mixing bowl, combine the softened cream cheese, powdered sugar, vanilla extract, and cinnamon. Mix until smooth and well combined.
Place a generous tablespoon of the cream cheese mixture in the center of each puff pastry square.
Fold the corners of each square towards the center to create a diamond shape, pinching the edges to seal.
In a small bowl, whisk together the egg and water to create an egg wash. Brush the tops of the pastries with the egg wash.
Bake in the preheated oven for 15-20 minutes, or until golden brown and puffed.
Remove from the oven and let cool slightly before serving. If desired, top with fruit preserves or fresh fruit.