Prepare the Filling: In a saucepan over medium heat, combine fresh cranberries, 1/4 cup of sugar, orange zest, orange juice, and cornstarch. Stir consistently until the mixture begins to bubble and thicken. Remove from heat and let it cool.
Roll Out the Pastry: On a lightly floured surface, roll out the puff pastry to smooth out creases. Cut it into four equal squares.
Create the Cream Cheese Mixture: In a bowl, blend the softened cream cheese, remaining 1/4 cup sugar, vanilla extract, and cinnamon until smooth.
Assemble the Danish: Preheat the oven to 400°F (200°C). Place a tablespoon of the cream cheese mixture in the center of each pastry square, leaving space around the edges. Top with a spoonful of the cranberry mixture.
Fold the Pastry: Fold the corners of each pastry square toward the center, creating a pinwheel effect. Seal the edges gently and place them on a lined baking sheet.
Egg Wash: Beat the egg and brush it over the top of each Danish for a golden finish.
Bake: Place the baking sheet in the preheated oven and bake for 20-25 minutes or until golden brown and puffed.
Cool and Dust: Once baked, remove the Danishes from the oven and let them cool slightly. Dust with powdered sugar before serving.