Preheat oven to 400 degrees F. Line a sheet pan with parchment paper.
In the bowl of stand mixer fitted with paddle attachment or in large bowl with hand-held mixer, beat cream cheese and sugar until smooth and creamy, about 3-4 minutes. Add egg yolks, vanilla, salt and lemon zest and mix until just incorporated.
On floured surface, roll puff pastry into an approximate 18-inch square. Cut into 9 squares.
Spoon approximately 2 tablespoons of cream cheese filling into center of each square. Brush two opposing corners with egg wash, then fold over the filling in the center, pressing gently to seal. Brush rest of the puff pastry with egg wash.
Chill assembled danishes 15 minutes, then bake until puffed and golden, about 20-25 minutes. Let cool to room temperature.
To make icing, whisk together powdered sugar with enough milk to make thick but pourable glaze. Drizzle over cooled danishes. Let sit 15 minutes before serving.
Danishes are best the day they are made but will keep in an airtight container for up to 3 days.