Preheat the oven to 400 degrees F. Line a rimmed baking sheet with parchment paper.
In a small bowl, whisk together the pumpkin puree, heavy cream, vanilla and egg. In a large bowl, whisk together the flour, granulated sugar, baking powder, cinnamon, ginger, nutmeg and salt. Using a pastry blender, cut the butter into the flour mixture. Add the pecans and toss to combine. Use a fork to stir in the pumpkin mixture just until you have craggy dough. Do not overmix.
Tip the dough out onto the prepared baking sheet and pat it into a 6-inch circle. Cut the dough into 8 equal triangles and freeze them for at least 15 minutes. (Once they're frozen, you could transfer them to an airtight container and keep them frozen for up to a month.)
Spread the scones out on the baking sheet and brush with a bit of cream. Bake until a toothpick inserted into the centers comes out clean, 20 to 25 minutes. Transfer to a rack to cool completely, about 1 hour.
Mix together the cream cheese, confectioners' sugar and milk with an electric mixer in a large bowl until smooth. Spread some of the cream cheese mixture on top of each scone and serve immediately.