Preheat oven to 400 degrees F.
Sprinkle the sugar on your work surface to prevent the dough from sticking. Roll out each sheet of puff pastry to an 8 by 8-inch square. Using a pizza cutter or sharp knife, cut each sheet into 4 squares.
Make the turnovers: Set a pastry square in front of you with 1 of the corners pointing toward you. Place 1 piece of cream cheese diagonally over the center of the bottom of the square. Top with a piece of guava paste. Brush the edges of the square with beaten egg. Fold the upper half of the square over the filling to make a neat triangle. Crimp the edges with a fork. Repeat with the remaining turnovers, placing them on a parchment paper-lined baking sheet as you go.
Bake for 20 minutes or until golden brown and puffy.
While the turnovers are baking, mix the confectioners' sugar with the milk and vanilla, stirring to dissolve any lumps. Set aside.
Cool the turnovers on a rack for 10 to 15 minutes, then drizzle the glaze over them. Serve warm or at room temperature.