Preheat the oven to 400 degrees F.
Cut the ends off each of the sausages and cut each link into 5 even pieces. You should have 20 pieces of sausage. Set a 10-inch saute pan over medium heat and add the olive oil. Once the oil is hot, place the sausage in the pan cut end down and sear for 1 minute. Turn over and sear for another minute then remove from the pan and set aside.
To the same pan, add the butter and onions and lower the heat to medium-low. Add the brown sugar, salt and pepper and cook, stirring occasionally, until the onions are soft and well caramelized, 10 to 12 minutes. Remove from the pan and set aside to cool.
Remove the towel from the puff pastry and, using a sharp knife, cut the pastry into 20 (3-inch) squares. Place about 2 teaspoons of the caramelized onions in the center of the puff pastry squares, and top with a piece of sausage. In a small bowl, combine the egg and heavy cream and whisk to blend. Brush all 4 edges of the puff pastry with the egg wash and pull 1 corner of the pastry onto the top of the sausage. Pull the opposing corner over the first, and follow with the remaining corners of the puff pastry. The packages should resemble a small envelope. Repeat with the remaining pieces of sausage and puff pastry.
Place the bundles onto a parchment lined sheet pan and place in the oven. Bake until golden brown and puffed, 18 to 20 minutes, turning the pan once mid-way through the cook time. Remove the pan from the oven and allow to cool for 5 to 7 minutes before serving.
To serve, dollop about 1/2 teaspoon of the fig preserves over each of the bundles, as well as a small amount of sour cream. Garnish with the snipped chives (alternatively, forgo the fig preserves and sour cream for whole grain mustard). Serve while still warm.