In a large mixing bowl, combine the flour, granulated sugar, salt, and yeast. Mix well.

In a separate bowl, whisk together the warm milk, melted butter, eggs, and vanilla extract.

Gradually add the wet ingredients to the dry ingredients, mixing until a dough forms.

Knead the dough on a floured surface for about 5-7 minutes until smooth.

Place the dough in a greased bowl, cover with a clean kitchen towel, and let it rise in a warm place for about 1 hour or until doubled in size.

While the dough is rising, prepare the filling by mixing the softened cream cheese, powdered sugar, and lemon juice in a bowl until smooth and creamy.

Once the dough has risen, punch it down and roll it out on a floured surface into a rectangle about 1/4 inch thick.

Cut the dough into squares, approximately 4x4 inches.

Place a tablespoon of the cream cheese filling in the center of each square.

Fold the corners of each square toward the center to create a pinwheel shape, pinching the edges to seal.

Place the formed Danishes on a baking sheet lined with parchment paper.

Preheat the oven to 375°F.

Beat the egg and brush it over the tops of the Danishes for a golden finish.

Bake for 15-20 minutes or until golden brown.

Allow to cool slightly before serving.