Heat a tablespoon of butter on a frying pan, add chicken pieces, diced bell pepper, diced shallot, salt and curry powder. Fry until the chicken is cooked through. Set aside to cool slightly.
In a bowl, combine cream cheese, grated cheddar, cilantro, parsley, ground coriander and ground cumin. Mix to combine. Add the chicken mixture and mix.
Flour a working surface and roll out the dough to about 1/4 inch thick. Cut out circles the size of your liking, with a cookie cutter or similar. Divide the filling equally on the rounds, making sure to leave at least 1/2 inch border without filling. Make the egg wash by lightly whisking an egg with a tablespoon of milk. Brush the edges of each circle with egg wash, fold the circle in half over itself to make a half moon shape and pat the edges together with your finger. Seal the edges by pressing tightly with a fork or crimping with the edge of your pinkie finger. Transfer on a plate, cover with plastic wrap and refrigerate for 30 minutes. Save the egg wash for brushing. Pre-heat the oven to 375° F.
Place the empanadas on a baking sheet lined with parchment paper, brush with the leftover egg wash. Prick each empadada with a fork or cut steam vents with a sharp knife and bake for about 25-30 minutes, until the color is rich and golden. Take care not to burn.