Beat cream cheese at medium speed with an electric mixer in a medium-sized bowl until creamy. Add 1/2 cup powdered sugar and vanilla; beat until smooth. Stir in coconut.
Roll 1 sheet puff pastry into a 12" x 12" rectangle. (Pastry will be thin.) Cut into 9 (4") squares. Stack 2 chocolate sections, just off center, on each square; top chocolate with 1 heaping teaspoon coconut mixture.
Whisk together egg and water in a small bowl. Lightly brush edges of squares with egg mixture; fold into triangles. Seal edges with a fork. Place pastries on parchment paper-lined baking sheets.
Repeat procedure with remaining sheet of pastry, chocolate (reserve extra chocolate sections for another use), and coconut mixture. Brush remaining egg wash over top of pastries.
Bake at 400° for 12 minutes or until golden. Cool on baking sheets 5 minutes; transfer to wire racks to cool completely. Sift powdered sugar over pastries.