PREHEAT oven to 400° F.
RESERVE 1/2 cup sauce; set aside. Cover and refrigerate remaining sauce.
ROLL out pastry sheet on floured surface into 12-inch square. Cut into 4 equal squares. Place one salmon fillet on each pastry square. Sprinkle with pepper. Top each fillet with 2 tablespoons reserved sauce and 1/2 teaspoon thyme leaves.
BRUSH edges of pastry with beaten egg. Bring opposite corners of pastry together over top of salmon and pinch to seal edges. Bring remaining two corners to center and pinch to seal. Carefully pinch edges together to seal forming square pocket. Place on ungreased baking sheet. Brush with egg; sprinkle with 1 tablespoon cheese. Repeat with remaining squares.
BAKE for 25 minutes. Heat remaining sauce in microwave-safe bowl on MEDIUM-LOW (30%) power for 1 minute; stir. Divide sauce between 4 plates, spreading to create a pool. Place salmon pocket off center in Alfredo sauce pool. Garnish with thyme sprigs.
Quick Tip: Salmon pocket may be prepared and refrigerated up to 2 hours prior to baking.