Cut cold cream cheese and butter into 1 T sized chunks. Let warm 10-15 min at room temperature.
Pulse flour and 1 t salt in food processor to mix.
Pulse in cream cheese and butter chunks until just incorporated.
Separate dough into two portions. Form into thick disks, and wrap in plastic or place in plastic bag. Refrigerate 2 hours or until well chilled.
Saute shallots in oil about a minute. Add chili powder and sage and saute another minute. Add pumpkin and saute while stirring to evaporate extra moisture, about 5 minutes. Salt to taste. Cool to room temperature.
Roll each dough disk to about 15" diameter circle. Spread with half the cooled pumpkin. Crush 1/2 c walnuts and sprinkle over the pumpkin. Cut into 16 wedges with pizza cutter.
Roll each wedge into a rugelach. Place on parchment on cookie sheet. Brush with beaten egg. Sprinkle with parmesan.