• Preheat oven to 400°F (200°C) and spray a 9-inch oven-safe skillet* with cooking spray. Set aside.
• To a medium bowl, add cream cheese, butter, and granulated sugar. Using a hand mixer, beat until smooth and creamy. Mix in the vanilla extract. Set aside.
• On a lightly floured work surface, roll out the puff pastry into a 9x12-inch rectangle.
• Evenly spread the cream cheese mixture over the pastry, leaving about a ½-inch border along one long edge.
• Top the cream cheese mixture with an even layer of cherry pie filling.
• Wet the ½-inch border of the puff pastry with a little water to help seal the dough when rolling.
• Starting from the opposite long edge, tightly roll the pastry into a log. Gently press the edge to seal.
• Using a sharp knife, carefully slice the log into 6 equal-sized pieces.
• Place the pieces into the prepared skillet, cut-side up. Brush the exposed edges of the pastry with the beaten egg.
• Bake for 30 minutes. Then, after 30 minutes, cover the pinwheels with aluminum foil and bake for an additional 5-8 minutes, or until done in the middle.
• Let pinwheels cool slightly before adding the glaze.

Glaze

• In a small bowl, whisk together confectioners' sugar with milk. Add more milk, if needed, until the glaze reaches your desired consistency.
• Drizzle glaze over slightly cooled pinwheels.