Heat oven to 375°F. Grease or spray cookie sheet. In small bowl, beat cream cheese with electric mixer on low speed until smooth and creamy. Beat in almond paste until well mixed.
Unroll dough onto cookie sheet; press into 13x7-inch rectangle, firmly pressing perforations to seal. Spoon cream cheese mixture lengthwise down center 1/3 of rectangle; spoon preserves on top of mixture.
On each long side of dough rectangle, make cuts 1 inch apart to edge of filling. Fold opposite strips of dough over filling, and cross in center to make a braided appearance; seal ends.
Bake 18 to 22 minutes or until golden brown. Remove from cookie sheet to cooling rack. Cool completely, about 40 minutes.
In small bowl, mix powdered sugar and milk until smooth; drizzle over coffee cake. Garnish with sliced almonds. Serve warm or cool.