1. Process first 2 ingredients in a food processor until finely chopped. Add cheeses; pulse until blended.
2. Carefully unfold 1 sheet of puff pastry on a work surface sprinkled with 2 Tbsp. sugar, pressing out seams.
3. Spread half of cream cheese mixture over pastry to within 1/2 inch of edges. Press half of bacon into cream cheese mixture. Roll 2 opposite sides, jellyroll fashion, to meet in center. Brush water between rolled sides, and press lightly to seal. Wrap roll in plastic wrap. Repeat procedure with remaining dough, sugar, cream cheese mixture, and bacon. Chill rolls overnight.
4. Preheat oven to 400°.
5. Unwrap rolls. Cut each roll into 16 (1/2-inch thick) slices. Place slices 2 inches apart on 2 large baking sheets lined with parchment paper.
6. Bake at 400° for 20 minutes or until golden brown. Immediately brush tops of palmiers with fig preserves. Serve warm.