Combine cheese, sugar, egg, butter, flour, orange rind and vanilla in large bowl. Beat with electric mixer on medium speed until well blended.
Unfold pastry into rectangle; place on baking sheet. Make 2-inch-deep cuts at 1-inch intervals on long sides of pastry. Spread cheese mixture down center 3 inches of pastry. Crisscross strips over filling, alternating sides and bringing strips all the way across filling.
Bake in preheated 400°F oven 25 minutes or until bottom is golden brown.
Cool on wire rack. Mix confectioners sugar and orange juice in small bowl until smooth. Drizzle mixture over pastry; sprinkle with walnuts.