Preheat your oven to 400°F.
On a lightly floured surface, roll out one sheet of puff pastry to a 12-inch square. Cut each sheet into 4 equal squares.
Spoon about 2 tablespoons of the cherry filling into the center of each pastry square. Be careful not to overfill.
In a small bowl, mix the beaten egg with 1 tablespoon of water to make an egg wash.
Brush the edges of each pastry square with the egg wash. Fold each square diagonally to form a triangle, enclosing the filling. Press the edges together to seal, and crimp with a fork to ensure they are well sealed.
Place the turnovers on a baking sheet lined with parchment paper.
Brush the tops of the turnovers with the egg wash and sprinkle with granulated sugar.
Bake in the preheated oven for 15-20 minutes or until the turnovers are puffed and golden brown.
In a small bowl, whisk together the powdered sugar, milk, and vanilla extract until smooth. Add more milk if needed to achieve a drizzling consistency.
Cool the turnovers on a wire rack. Once cool, drizzle the glaze on top of turnovers (optional).