In medium bowl, with whisk, stir together flour, baking powder and salt. In large bowl, with mixer on medium speed, beat cream cheese, butter and sugar 5 minutes or until light and fluffy, scraping bowl occasionally with rubber spatula. Add egg yolk and vanilla and beat 1 minute. Reduce speed to low, and gradually add flour mixture, beating until just combined. Cover with plastic wrap and refrigerate at least 2 hours or up to overnight.
Position 2 oven racks to upper and lower position. Preheat oven to 350°. Spray 2 rimmed baking pans with nonstick cooking spray.
In separate small bowls, place walnuts and egg white. Form dough into 1-inch balls. Dip each ball in egg white then roll in walnuts, and place 2 inches apart on prepared pans. Press thumb into center of each cookie to make a well; fill each well with 1/4 teaspoon jam. Bake cookies 15 to 18 minutes or until bottoms of edges are golden brown and tops are lightly browned, rotating baking pans between upper and lower racks halfway through baking. Cool cookies on baking pans 5 minutes, then transfer to wire rack to cool completely. Repeat with remaining dough, egg white and walnuts.
Store cookies in airtight container at room temperature for up to 3 days or freeze for up to 3 months.
Chef Tip: When rolling balls of dough in egg white and walnuts, use your left hand to roll dough ball in egg white and add to walnuts, then use your right hand to coat dough ball with walnuts.