Preheat your oven to 375 degrees F and line a baking sheet with parchment paper.
In a microwave-safe bowl, combine the shredded mozzarella and 2 tablespoons of cream cheese. Microwave for 1 minute, stir, then microwave for another 30 seconds until melted and stretchy. Add the almond flour, egg, and 1 tablespoon of powdered erythritol. Mix and knead until a smooth dough forms.
In a separate small bowl, beat together the softened cream cheese, 2 tablespoons powdered erythritol, vanilla extract, and egg yolk until completely smooth. This is your danish filling.
Divide the dough into 10 equal pieces. Roll each piece into a ball, then flatten it into a small disc about 3 inches wide. Place the discs on the prepared baking sheet. Use your thumb to press a deep well into the center of each disc.
Spoon about 1 tablespoon of the cream cheese filling into each well, making sure the filling stays within the edges of the dough.
Bake for 14 to 16 minutes until the dough is golden brown around the edges and the filling is set.
While the danish bites cool, whisk together the glaze ingredients until smooth. Drizzle the glaze over the warm danish bites and let it set for a few minutes before serving.