Move oven rack to middle position and preheat to 350 degrees F. Line cookie sheet with parchment or silicone baking mat; set aside.
In a small bowl, add cream cheese, 2 tablespoons powdered sugar, and vanilla. Use a rubber spatula to mix until combined and no lumps remain.
Remove biscuits from tube and space out evenly on prepared cookie sheet. Use bottom of a can to press into each biscuit. Press until flattened and a shallow depression is formed for the filling. (I just used the can that the apple pie filling came in.)
Spread apple pie filling out evenly among each biscuit. Repeat with cream cheese mixture.
Bake for 17-20 minutes, or until edges of biscuit start to turn golden brown. Remove from oven and place sheet on wire rack to cool until warm, about 20 minutes.
To make glaze add remaining 2 tablespoons powdered sugar and milk to a small bowl. Mix until smooth, adding more milk or sugar to reach desired consistency. Use a fork or spoon to drizzle glaze over biscuits. Serve immediately.