Line a baking sheet with parchment paper. Place an oven rack in the center of the oven and preheat the oven to 400°F. Roll each thawed piece of puff pastry gently into a square, then cut each sheet into 4 squares. Place the 8 squares on the baking sheet.
Place 1/4 cup of cherry pie filling into the middle, left of center, of each square.
Brush a little of the beaten egg along the outside edges of each puff pastry square.
Fold the bottom right corner of the dough over the filling and press it into the top left corner. Seal the edges with a fork.
Use a pastry brush or paper towel to add a very light layer of the beaten egg over the top of the puff pastry turnover. Bake for 20 to 25 minutes until the puff pastry has risen and is golden brown. Remove from the oven and allow to cool on the baking sheet for a few minutes before placing the turnovers on a wire cooling rack.
Mix the milk with the powdered sugar to make a glaze. Use a spoon to drizzle the glaze over the turnovers. Then enjoy!