If you want to eat it in a less messy way, turn your mille feuille on its side and cut it from what is the top now.
It does depend on the actual make up how well it turns and cuts.
The way many people I know use is to lift the layers and eat them individually.
Either pick them up in their hands or put the layer on the plate and use tools to cut.
You eat it the same way you eat a loaded hamburger : messily.
Seriously, I should not be a "hard" pastry, you should be able to cut it with a knife.
Yes, some of the filling will spread out.
Also, it should not be refrigerated, or at least left out of the fridge before serving, so that the cream/custard softened.