Preheat oven to 400 degrees Fahrenheit.
If puff pastry sheets are frozen, set them out now before preparing the filling.
In a sauce pot, add cranberries, water, cinnamon, orange juice, zest, and sugar. Simmer for 10 minutes over medium heat.
Once the cranberries have dissolved, add in RED VINES candy and cook for 2 minutes. When the sauce has thickened, set aside and let cool to room temperature.
In a bowl, mix together cream cheese, sugar, and vanilla until creamy and smooth. Set aside.
Unroll the puff pastry sheets and spread the cream cheese & sauce, leaving less than ½ of an inch on the sides.
Starting on the long edge, roll up the pastry dough into a log.
Cut the log into 16 equal pieces and arrange in a circle on a cookie sheet lined with parchment paper.
Brush each of the rolls with the egg wash and bake for 20 – 25 minutes.
Mix together powdered sugar and milk to make the glaze.
When finished, let cool for 10 minutes and drizzle with glaze.