Preheat the oven to 350°F (175°C) and line a baking sheet with parchment paper or a silicone baking mat.
Unroll the crescent rolls and separate them into 8 triangles. Arrange the triangles on the prepared baking sheet.
In a mixing bowl, beat the softened cream cheese with an electric mixer until smooth.
Add granulated sugar, vanilla extract, and egg yolk to the cream cheese. Beat until well combined and creamy.
Place a spoonful of the cheese filling in the center of each crescent roll triangle.
Fold the corners of the dough over the filling, pinching to seal and creating small pockets.
Bake for 15-18 minutes, until the danishes are golden brown and the filling is set.
Remove from oven and let cool for a few minutes on the baking sheet.
To prepare the glaze, whisk powdered sugar, milk, and vanilla extract together until smooth.
Drizzle the glaze over the warm danishes.
Serve warm or at room temperature.