Begin by preheating your oven to 400°F (204°C) while you prepare your baking surface. Line two non-rimmed cookie sheets with parchment paper.

On a cold, floured surface, roll out your high-quality puff pastry to about 1/8 inch thick. Cut the pastry into 3-inch squares.

In a mixing bowl, whisk together the mascarpone, egg, sugar, cinnamon, nutmeg, milk, and vanilla extract until the mixture is smooth and creamy.

Take one of the intact pastry squares and place it on the parchment. Scoop 1 tablespoon of the mascarpone filling onto the center, then layer on fresh rhubarb slices.

Continue the assembly process with the remaining pastry squares, filling them each with the mascarpone mixture and rhubarb slices.

Place your assembled pastries in the preheated oven and bake for 15 to 18 minutes, or until they are puffed up and a lovely golden brown.

Once baked, remove the pastries from the oven and allow them to cool slightly on the cookie sheets. Dust the top with powdered sugar before serving.