Line two baking sheets with parchment paper. Preheat oven to 350F degrees. (325F if using dark non-stick)
In a medium bowl, combine cream cheese and Nutella, stirring or mixing until smooth.
Roll out the puff pastry sheets on a lightly floured surface into a 12" by 12" square. Trim the uneven edges so you have a nice edge all around the puff pastry (trimming is not really necessary if making the jellyrolls). Cut each sheet into 9 squares.
For jellyrolls, start about 1/2" in from one side and spread 1 tablespoon of the Nutella mixture to the other edges. Starting with the least even edge, gently roll until almost complete. Dab water on bare edge just before finishing roll. Place seam side down on parchment-covered baking sheet. Continue with remaining squares and place about 2 inches apart.
For turnovers, drop 1 tablespoon of the filling into the corner of each square of puff pastry. Make sure to leave enough space along the edges so they can be crimped shut. Fold the puff pastry dough over to form triangles. Lightly dab two of the four edges of each turnover with water before crimping them shut with a fork. Transfer the turnovers to the parchment lined baking sheets.
Prepare the egg wash by beating together one egg and 1 tablespoon water. Brush each jellyroll or turnover with the egg wash. (This step is necessary for a nice golden color.
Bake for about 23-25 minutes, or until golden brown. Allow to cool for one hour.
For garnish, spoon about 1 tablespoon of Nutella into the corner of a small plastic bag. Cut a tiny corner out of the end and drizzle over pastries. Dust with powdered sugar and cinnamon, if desired.
Store leftovers in air-tight container to be served the following day.