In a large mixing bowl, or the bowl of an electric mixer, combine all of the dry ingredients, then mix in the peanut butter; the mixture will be crumbly.
Add the water into the flour mixture. Mix and knead the dough until it becomes shiny and elastic (10 minutes by hand, 5 minutes by mixer).
Put the dough into a greased bowl, turn to coat, and set it aside to rise for about 1 to 2 hours, or until it's doubled in size.
Turn the risen dough out onto a lightly floured counter. Divide the dough into 16 pieces and roll them into balls. Flatten each ball into a 4-inch round.
Drop 1 1/2 teaspoonfuls each of the peanut butter filling and jelly filling onto the center of each round. Fold the edges of the rounds over the filling to create half-moon shapes, and crimp to seal. Place the rolls on lightly greased or parchment-lined baking sheets or silpats. Cover them and let them rise for 1 to 2 hours, or until they're puffy but not doubled in size.
Bake the rolls in a preheated 375°F oven for 12 to 15 minutes, till they're golden brown. Remove them from the oven.
Melt the margarine with the agave in a small saucepan set over low heat, or in the microwave. Lightly brush the glaze over the rolls while they're still warm.