Preheat oven to 400 degrees F. Line a baking sheet with parchment paper; set aside. In a large skillet, cook bacon over medium heat until crisp. Using a slotted spoon, remove bacon and drain on paper towels, reserving 1 tablespoon drippings in skillet.
Add onion and apple to the reserved drippings. Cook and stir about 5 minutes or until tender. Stir in sage, salt, and pepper. Remove from heat. If desired, carefully add applejack to skillet. Return to heat; cook and stir until nearly evaporated. Cool slightly. Stir in bacon and cheese. If desired, cover and chill for up to 24 hours.
On a lightly floured surface, roll each puff pastry sheet slightly into a 10-inch square. Using a 31/2-inch cookie cutter, cut each sheet each into six circles. Spoon 1 tablespoon of the apple mixture onto half of each pastry circle. Fold pastry over filling and seal edges with a fork.
Place empanadas on the prepared baking sheet. In a small bowl, combine egg and the water. Brush tops of empanadas with egg mixture.
Bake about 15 minutes or until golden brown. Meanwhile, in a small bowl, combine creme fraiche and the 3 tablespoons caramel topping. Drizzle empanadas with additional caramel topping. Serve creme fraiche mixture with empanadas.