In a mixing bowl, combine flour, sugar, and salt. In another bowl, mix warm milk with yeast and let sit until foamy. Add yeast mixture, egg, and melted butter to the dry ingredients. Knead the dough for 6-8 minutes until smooth, then chill for 30 minutes.

Prepare a butter block by placing cold butter between parchment paper and rolling it into an 8-inch square. Refrigerate until firm.

Roll the dough into a 16-inch square, place the butter block in the center, fold the dough to enclose it, and roll into a long rectangle. Fold into thirds, chill for 30 minutes, and repeat twice.

Roll dough to 1/4 inch thick, cut into 4-inch squares, place cream cheese filling in the center, fold corners towards the center and pinch to seal.

Place shaped danishes on a parchment-lined baking sheet and let proof for 1 hour. Preheat oven to 390°F (200°C) during the last 15 minutes. Brush with egg wash.

Bake for 15-20 minutes until golden brown. Cool slightly. Mix powdered sugar with milk and lemon juice/vanilla for glaze and drizzle over warm danishes.