Rinse and pit the cherries, then cut them in half. Put them in a small pan, then add the vanilla, orange juice, cinnamon and sugar. Cook for 5 minutes or until the cherries become a bit sticky. Set aside to cool.
In a small bowl, mix the cream cheese, icing sugar and vanilla extract. You can add more sugar, if the cherries are not too sweet. You can add some orange zest too.
When the cherry compote has cooled down, unroll the pastry onto a large, lightly floured chopping board.
Cut it into 12 squares about 8x8cm, using a pizza cutter.
Drop a small spoonful of the cheese mixture into the middle of each pastry square.
Top with a few cherry pieces, then brush a small amount of egg wash on one corner of the pastry square and wrap the filling with pulling the opposite corner, squeezing them together tightly.
Put the little parcels onto a baking sheet, lined with parchment paper, then put the sheet in the fridge for about 30 minutes.
Preheat the oven to 200°C.
Take the tray out of the fridge and brush the exposed parts of the pastry with the egg wash.
Bake for about 20 minutes, until pastries look golden brown. (Check that their base has also cooked through properly).
Let them cool a bit, then serve, dusted with icing sugar.