Crank the oven to 400°F (200°C).
Plop the cream cheese, egg yolk, sugar, vanilla, and salt in a medium bowl and beat with a handheld mixer until smooth. Set aside.
Lightly sprinkle a nonstick baking mat or a piece of parchment with flour.
Unfold the puff pastry on the parchment paper, and with a rolling pin, roll it out to a 12-by-15-inch (32-by-38-centimeter) rectangle. Check frequently so it doesn't stick.
Make sure the 12-inch side of the pastry is nearest you. Lightly press a ruler into the dough, making three 4-inch-wide vertical columns, being careful not to press completely through the dough.
Spread the cream cheese filling on the center column, leaving a 1-inch (2 1/2-centimeter) border on the top and bottom edges of the column.
Spoon a column of jam down the middle of the filling.
Fold the top edge of the pastry down to cover 1/2 inch (2 centimeters) of the filling.
Cut 3/4-inch horizontal slits (or fringe, if you will) down the left and right columns.
Now, it's just a matter of simply plaiting. Fold the top right strip diagonally across the filling. Do the same with the top left strip, overlapping the right strip.
Repeat this right-left, right-left folding down the Danish until the last two strips.
Fold the bottom lip of the pastry up 1/2 inch (2 centimeters) over the filling to seal it, then cross the last 2 strips over each other upward.
Beat the reserved egg white and lightly brush it on the pastry.
Sprinkle lightly with sugar. Slide cheese Danish and baking mat onto a baking sheet.
Bake until golden brown, 30 to 35 minutes. Transfer the sheet to a rack to cool. Serve warm.