How to Make It
Preheat the oven to 375°. Spread the walnuts on a rimmed baking sheet and toast for 6 minutes, or until browned. Transfer the walnuts to a plate to cool.
In a bowl, using a handheld mixer, beat the cream cheese until smooth. Beat in the egg yolk. Add 1/4 cup of granulated sugar, the vanilla and cinnamon and beat until blended. Stir the chocolate into the cream cheese mixture and refrigerate for at least 10 minutes.
Line a large rimmed baking sheet with parchment paper. Lay 1 sheet of phyllo on the parchment paper. Brush the phyllo with melted butter and sprinkle with 1/3 cup of the walnuts and 2 tablespoons of the granulated sugar. Cover with another phyllo sheet, butter it and sprinkle with walnuts and granulated sugar as before; repeat 2 more times to make 4 layers.
Turn the baking sheet so that a long side is facing you. Spoon half the cream cheese mixture in a long strip along the length of the phyllo, leaving a 2-inch border of phyllo below and on each side. Lay 2 bananas end to end on the cream cheese. Set the 2 remaining bananas next to them, so you have a double row. Trim the bananas if needed. Spoon the remaining cream cheese mixture in a strip on the bananas.
Starting with the long edge closest to you and using the parchment paper as a guide, lift the phyllo up and over the bananas and roll into a neat, compact log; fold in the sides to enclose the filling. Discard the parchment paper. Slide the strudel to the center of the baking sheet, making sure the seam is down. Brush the strudel with melted butter and sprinkle with granulated sugar.
Bake the strudel for 40 minutes, or until crisp and brown. Let it stand for about 25 minutes, then transfer to a cutting board. Dust with confectioners' sugar. Using a serrated knife, thickly slice the strudel crosswise and serve warm with vanilla ice cream.