Separate dough into four rectangles. Seal perforations. In a small bowl whisk together cream cheese, sugar and lemon juice until smooth. Spread 1/4 of the mixture onto each rectangle. Roll up from long side; pinch edges to seal. Holding one end, loosely coil each.
Place on an ungreased cookie sheet. Top each coil with 2 teaspoons preserves.
Bake at 350° F. for 15 minutes or until golden brown.
For Glaze: in a small bowl, combine powdered sugar, vanilla and milk. Stir until smooth and drizzle over each danish. Serve and enjoy!