Step 1: Preheat your oven to 400°F (200°C) and line a large baking sheet with parchment paper.
Step 2: In a medium bowl, beat together the softened cream cheese, granulated sugar, vanilla extract, and lemon zest until completely smooth.
Step 3: Unroll the puff pastry sheet onto a lightly floured surface and cut it into 8 equal rectangles.
Step 4: Place the pastry rectangles onto the prepared baking sheet. Using a sharp knife, lightly score a border about 1/2 inch from the edge of each rectangle, being careful not to cut all the way through.
Step 5: Spread about 1.5 tablespoons of the cream cheese mixture within the scored border of each pastry.
Step 6: Lay 2-3 pieces of rhubarb on top of the cream cheese filling. You can slice them thinly or leave them in batons.
Step 7: Brush the edges of the pastry with the beaten egg wash and sprinkle with coarse sugar if using.
Step 8: Bake for 20-25 minutes, or until the rhubarb cream cheese puff pastries are puffed and deeply golden brown. Cool slightly before serving.