In a mixing bowl, beat the cream cheese with 1/3 cup granulated sugar, lemon zest, and vanilla until smooth and slightly aerated, 1–2 minutes; add 1 tablespoon heavy cream only if the mixture is too stiff to pipe.

Toss the blueberries with 1 teaspoon cornstarch and 1 tablespoon granulated sugar in a small bowl and set aside.

On a lightly floured surface, roll each thawed puff pastry sheet gently into a roughly 10x14-inch rectangle; trim to create a central 4-inch-wide strip for filling, leaving 2.5–3-inch side flaps for cutting into 1-inch-wide strips.

Spoon or pipe a 3/4-inch log of cream cheese filling down the center of one pastry rectangle, leaving 1-inch gaps at both ends, then scatter the cornstarch-coated blueberries in a single layer over the filling.

Make 1-inch-wide diagonal slits on both sides of the filling about 2.5 inches long, fold the top and bottom pastry ends over the filling and press gently to seal, then braid by alternating right and left strips over the filling, tucking the final strips under to secure.

Brush the exposed pastry lightly with egg wash and sprinkle coarse sugar if using; place the assembled braid on a parchment-lined rimmed sheet pan and chill in the refrigerator for 10–15 minutes.

Preheat the oven to 400°F with a rack in the center; bake the chilled braid for 20–25 minutes until deeply golden and puffed and the filling looks set, rotating the pan if necessary for even browning.

Remove the braid to a cooling rack and let cool 15 minutes before drizzling the optional glaze made by whisking powdered sugar, lemon juice, and milk to desired consistency.

Slice and serve warm or at room temperature.