Combine the first 4 ingredients in a medium saucepan; bring to a boil. Reduce heat, and simmer 25 minutes or until figs are tender and liquid almost evaporates. Remove from heat. Stir in vanilla and nutmeg. Cover and chill 1 hour. Stir in chocolate and egg yolk.
Working with 1 Sweet Cream Cheese Dough circle at a time, remove plastic wrap from dough. Place dough on a lightly floured surface. Spoon about 2 tablespoons fig mixture into center of circle. Fold dough over the filling; press edges together with a fork or fingers to seal. Place pie on a large baking sheet covered with parchment paper. Repeat procedure with remaining Sweet Cream Cheese Dough circles and the remaining fig mixture. Freeze 30 minutes.
Preheat oven to 425°.
Remove pies from freezer. Pierce top of each pie once with a fork. Place baking sheet on bottom rack in oven. Bake at 425° for 19 minutes or until edges are lightly browned and filling is bubbly. Cool completely on a wire rack. Sprinkle with powdered sugar.