Preheat the oven to 350°F. In a large bowl, cream the cream cheese, butter and granulated sugar with an electric mixer on medium speed until well blended. Separate 1 of the eggs; set aside the egg white for later use. Add the yolk, the second whole egg and vanilla extract to the cream cheese mixture; mix well. In a separate bowl, combine the flour and baking powder. Gradually add the flour to the cream cheese mixture, beating until well blended after each addition. Divide the dough into four equal pieces. Wrap each in plastic wrap and chill for 1 hour.
Roll each piece into a 12 x 1-inch log; place 2 inches apart on a large ungreased (or parchment lined) baking sheet. Use the handle of a wooden spoon or your fingers to make a depression down the length of each log, about 1/2 inch wide and 1/2 inch deep. Beat the reserved egg white with a fork; brush over the dough. Microwave the preserves or jam for a few seconds to slightly liquefy. Fill the depressions with the preserves, using about 3 tablespoons in each log. Sprinkle with the walnuts.
Bake for 25 minutes or until the edges are lightly browned. Transfer to wire racks; cool slightly. Sprinkle with confectioners' sugar. Cut each log into 12 diagonal slices.