Preheat the oven to 400°F and line two baking sheets with parchment paper.
In a medium bowl, beat the cream cheese, powdered sugar, cornstarch, vanilla, lemon juice and lemon zest with a hand mixer for about 1 minute, until completely smooth.The cornstarch replaces the egg yolk usually found in danish filling and helps it bake up thick and creamy instead of runny.
Unfold the puff pastry sheets on a lightly floured surface and gently roll each one to smooth out the creases. Cut each sheet into 4 equal squares and arrange them on the baking sheets.
Lightly score a 1/2-inch border around the edge of each square without cutting all the way through. Prick the center of each square several times with a fork so it stays flat while the edges puff.
Spoon about 2 tablespoons of filling into the center of each square and top with a heaping teaspoon of raspberry jam. Brush the borders with heavy cream for a golden, glossy finish.
Bake for 16-20 minutes, until the pastry is puffed and deep golden brown. Let the danishes cool on the sheets for 10 minutes.
Whisk the powdered sugar and milk into a smooth glaze and drizzle it over the warm danishes before serving.