Preheat the oven 400ºF. Line an 11-inch by 17-inch baking sheet with parchment paper.
Combine the apples, granulated sugar, flour, cinnamon, allspice, salt, and lemon zest & juice in a medium bowl. Set aside.
Combine the cream cheese, egg yolk, ¼ cup Confectioner’s sugar, and the vanilla in a medium bowl. Stir with a fork until well blended. Set side.
Beat the egg white with a splash of water. Set aside.
Unfold one sheet of puff pastry onto a lightly floured countertop. Roll the dough into a 10-inch by 12-inch rectangle. Snip off the two top corners at an angle. Cut two notches at the bottom of the dough (see photo). Cut 1-inch diagonal strips on the right third of the dough. Repeat this on the left third of the dough.
Spread half of the cream cheese filling down the center of the dough, leaving a 1-inch border at the top and bottom.
Spread half of the apple filling over the cream cheese filling.
Fold over the top and bottom pieces of dough over the filling. Fold the strips of dough in a criss cross pattern to make a mock braid covering the filling. When you get to the last strip, dab a bit of the egg white underneath to keep it secure. Lightly brush the danish with the egg wash. Repeat steps 5 though 8 with the remaining sheet of puff pastry, filling, and cream cheese mixture.
Place the danishes on the prepared pan. Bake until deep golden brown, and the filling is bubbling, about 25 minutes.
Combine the remaining cup of Confectioner’s sugar, butter, and vanilla with 1 tablespoon of water in a small bowl. Whisk until smooth. Drizzle the icing over each Danish. Let sit at least 10 minutes before serving, so the filling can settle and the icing can set.