Line 2 cookie sheets with cooking parchment paper, set aside.
In large bowl, beat cream cheese, butter and 1 tablespoon sugar with electric mixer on medium speed until fluffy. On low speed, gradually beat in flour. On large piece of plastic wrap, form dough into 10x5-inch rectangle. Wrap in plastic wrap; refrigerate until firm, about 1 hour.
Meanwhile, in 2-quart saucepan, stir together chopped dates, 1/2 cup water and 2 tablespoons sugar. Heat to boiling. Reduce heat to low; cook 5 to 8 minutes, stirring constantly, until thickened. Cool 5 minutes. Stir in orange peel, vanilla and walnuts; set aside.
Heat oven to 325°F. Cut dough in half into 2 squares. On floured surface, roll out 1 square of dough into 10-inch square. Using fluted pastry wheel, trim edges; cut into twenty-five 2-inch squares. Spoon 1 teaspoon date mixture onto center of each 2-inch square. Bring 2 opposite corners of dough together, partially overlapping and covering date mixture. Using fingers dipped in water, press dough to seal. Arrange 1 inch apart on cookie sheets. Repeat with other half of dough.
In small bowl, beat egg white and 1 tablespoon water; brush onto dough wraps. Sprinkle with coarse white sparkling sugar.
Bake 13 to 15 minutes or until edges begin to turn golden brown. Cool 2 to 3 minutes. Remove from cookie sheets to cooling rack. Cool completely, about 15 minutes.