Mix together the cream cheese, 3 tbsp icing sugar and the vanilla extract in a bowl, then put in the freezer to firm up for 30 mins.
Meanwhile, combine the flour, baking powder and spices in a bowl. In a larger bowl, beat the butter and sugar together until creamy. Beat in the egg, followed by the carrot. Tip in the dry ingredients and mix to form a dough.
Line a baking sheet with baking parchment. Dust your hands with a little flour, then divide the dough into 14 balls and place on the sheet. Use the palm of your hand to flatten each one to a thin circle. Add 1 tsp of the cream cheese mixture to the centre of each one, then carefully wrap the dough up and around the filling to seal it in, pinching the top and rolling back into a rough ball to stop any of the filling leaking out.
When all the balls are shaped, use your palm to flatten them slightly, then put in the fridge to chill for 30 mins. Heat oven to 200C/180C fan/gas 6.
Bake the cookies for 20 mins until golden and crisp. Remove from the oven, let them firm up on the tray for 10-15 mins, then transfer to wire racks to cool completely.
Mix the icing sugar with the orange juice to a drizzling consistency. Drizzle all over the cookies, sprinkle with the walnuts and orange zest, then allow to set. Best eaten on the day they are made, but will keep in the fridge in an airtight container for up to 2 days.