Preheat oven to 350ºF. Beat cream cheese, butter and granulated sugar in large bowl with electric mixer on medium speed until well blended. Separate 1 of the eggs; set egg white aside for later use. Add yolk, second (whole) egg and vanilla to cream cheese mixture; mix well. Gradually add combined flour and baking powder, beating until well blended after each addition.

Divide dough into four equal pieces. Roll each piece into 12x1-inch log; place, 2 inches apart, on large ungreased baking sheet. Use handle of wooden spoon or fingers to make depression down length of each log, about 1/2 inch wide and 1/2 inch deep. Beat reserved egg white with fork; brush over dough. Sprinkle with walnuts. Fill depressions with preserves, using about 3 Tbsp. preserves in each log.

Bake 25 to 27 min. or until edges are lightly browned. Transfer to wire racks; cool slightly. Sprinkle with powdered sugar. Cut each log into 12 diagonal slices.