Prepare the rhubarb filling: In a medium saucepan, combine the chopped rhubarb, granulated sugar, cornstarch, and water. Cook over medium heat, stirring occasionally, until the rhubarb breaks down slightly and the mixture thickens (about 5-7 minutes). Remove from heat and let cool completely.

Prepare the cream cheese filling: In a small bowl, use an electric mixer to beat the softened cream cheese, powdered sugar, and vanilla extract until smooth and creamy. Beat in the egg yolk until just combined. Set aside.

Preheat your oven to 400°F (200°C). Line two baking sheets with parchment paper. Gently unfold the thawed puff pastry sheets onto a lightly floured surface. Cut each sheet into 6 equal squares (12 squares total).

Assemble the pastries: Place about 1 tablespoon of the cooled rhubarb filling onto the center of one half of each pastry square. Top the rhubarb with about 1 teaspoon of the cream cheese filling. Fold the pastry over diagonally to form a triangle, pressing the edges firmly to seal. Crimp the edges with a fork.

Prepare for baking: Arrange the sealed pastries on the prepared baking sheets. Whisk together the remaining egg and milk to create an egg wash. Brush the tops of each pastry generously with the egg wash, and optionally sprinkle with coarse sugar.

Bake for 20–25 minutes, or until the puff pastry is golden brown, puffed up, and cooked through. Transfer to a wire rack to cool slightly before serving warm or at room temperature.