Add the apples slices, water, sugar, and cinnamon to a non-stick skillet. Cook over medium heat until the sugar dissolves, the apples soften, and a rich caramel sauce forms. Remove from heat and allow to cool.
Unfold the puff pastry and place it on a baking sheet. Lay the apples evenly down the center of the pastry. Using a sharp knife, cut the edges of the pastry in ½" segments up to the apples. Fold the pastry pieces back over the apples, alternating from side to side. Brush with cream and sprinkle with coarse sugar. You can skip this step and dust with confectioner's sugar and the strudel bakes and cools.
Bake in a preheated 375 degree oven for 20-25 minutes or until golden brown. Lift the edge of the pastry with a spatula to make sure the bottom is fully cooked and golden brown. Expect some of the juices to run and caramelize on the pan. If they start to burn, pull the baking sheet out of the oven and wipe the burned caramel away. Return the pan to the oven to finish baking.
Remove the pan from the oven and allow the pastry to cool for 5 minutes. Using a spatula remove the pastry and finish cooling it on a wire rack. Serve warm or room temperature.