Beat the cream cheese and butter in a mixer until smooth and creamy. Beat in the egg and vanilla. Add the cake mix then beat until well incorporated.
Cover with a saran wrap then store in the fridge to chill for 2 hours(or overnight which is much better- Thank You MR!). This will firm up the cookie dough which would make it easier to form into balls.
Place the confectionery sugar into a flat container/pie plate. After the chilling process, scoop a big spoonful of dough and form a ball with your hands. Coat the balls with the confectionery sugar. Repeat the process with the cookie dough.
Preheat the oven to 350°. Place the cookie balls in a cookie sheet. Bake them in the oven for 10-12 minutes. Do this in batches.
Cool the cookies in a wire rack or a pan, completely. Slightly crunchy on the outside but soft, buttery, and moist on the inside.