Preheat oven to 425°. Beat cream cheese, lemon juice, salt and pepper on medium speed until well combined. Fold in capers and shallot., Unfold puff pastry; roll into a 12-in. square. Cut into 4 smaller squares. Spread cream cheese mixture over squares to within 1/4 in. of edges; top with chicken., Fold a corner of each pastry square over chicken, forming a triangle. Pinch triangle edges to seal and flatten with fork for tighter seal. Whisk egg and water; brush over pastry pocket, including edges. Discard leftover egg mixture. Pierce each pocket twice with a fork to vent., Bake on a parchment-lined baking sheet until golden brown, 18-25 minutes. Remove from oven; cool 5 minutes. Serve pockets with lemon slices and parsley., Freeze option: Cover and freeze unbaked pockets on a waxed paper-lined baking sheet until firm. Transfer to an airtight container; return to freezer. To use, bake as directed, increasing time about 5 minutes.