Preheat oven to 400°F (200°C) and line a baking sheet with parchment paper.
In a small bowl, blend softened cream cheese, powdered sugar, and vanilla extract until smooth.
Unfold one puff pastry sheet on a clean surface and place cherry pie filling lengthwise down the center, leaving a 1-inch border on each side.
Spread the cream cheese mixture evenly over the cherry filling.
Cut diagonal strips about ½ inch wide along both sides of the filling.
Fold the strips over the filling alternately from each side to form a braid.
Beat the egg and brush lightly over the braided pastry for a golden finish.
Bake for 18–22 minutes until puffed, golden, and filling is bubbling.
If desired, whisk together glaze ingredients and drizzle over the braid after it cools slightly.
Slice and serve warm or at room temperature.