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Heat the milk in the microwave in a heatproof cup or on the stovetop in a small saucepan until just warm. You should still be able to put your finger in it without burning yourself and the temperature should be no higher than 115 degrees F. Stir in the sugar to dissolve and sprinkle the yeast over the surface. Let sit for 10 minutes, until the yeast bubbles.
Put it in a mixer fitted with a dough hook and with the machine running on low, add the melted butter, cream, egg and salt. Add the flour and continue mixing to combine, then turn the machine up to medium and knead the dough until it’s soft and elastic, 5 to 6 minutes.
Put the dough into a lightly greased bowl, cover with plastic wrap, and leave in a draft-free place to rise until doubled, about an hour. Make the filling by beating the cream cheese with the sugar, egg and vanilla until creamy, and set aside.
On a lightly floured work surface, roll the dough out to a rectangle about 10 by 15 inches. Transfer it to a greased baking sheet, using your hands to stretch the dough to keep the rectangle shape. Spoon the cream cheese filling down the center third of the pastry, running across, and top it with dollops of the jam. Use a paring knife to cut the two “wings” on either side into strips one inch wide, and then fold them over the center, alternating sides, to make a sort of braided top. Set aside to rise, uncovered, for 20 minutes.
While the Danish is rising, preheat the oven to 350 degrees F. After 20 minutes, put the baking sheet on the upper and bake 30 to 35 minutes, until puffed and golden. Remove from the oven and cool on the baking tray. When the pastry is cool, whisk together the confectioner's sugar with 2 to 3 tablespoons heavy cream, adding just enough cream to make a pourable glaze. Drizzle in zig-zag lines over the surface of the pastry. Let the glaze set for 10 minutes before slicing.