Process the butter, cream cheese, and cream in a food processor, electric mixer, or by hand to thoroughly combine.
Add the flour and salt. Process just until combined and the dough holds together in a ball. Turn the dough out onto a well-floured surface. Divide into 2 pieces. Flatten into disks and wrap each in plastic wrap. Refrigerate for at least 30 minutes before rolling out. If the dough is chilled overnight, take it out 15 minutes before rolling out.
To form the pocket pies, work with half of a disk of dough at a time, rolling it out on a floured surface. Using an overturned bowl (about 3 inches across), cut out circles about 3 at a time from each piece of dough. After cutting out all your circles, gather all dough scraps, reroll, and cut out a final time. Place 1-2 chocolate bars on one side of a dough circle. Wet the edges of the dough with the water. Fold the dough over to form a half circle. Pinch the edge of the dough together. Crimp the edge with a fork. Repeat the process until all the filling is used.
Place the pocket pies on the prepared baking sheet and chill for a few minutes. Prick each pie on top twice with a fork. When ready to bake, beat the egg with 1 tablespoon water. Brush the egg wash over each pocket pie. Bake for 20 to 25 minutes, until golden brown. Let rest for 5 minutes before serving.