Scrape the vanilla bean into a bowl. Whisk in the milk, sugar and vanilla, and rum. Pour mixture into ice cream maker, add coconut and freeze according to manufacturer's instructions.
To serve, alternate layers of small scoops of ice cream and mango sauce in parfait glasses, or simply spoon sauce over ice cream.
Mango sauce:
Cut first mango into 1/4-inch dice. Coarsely chop the second mango and put in food processor. Add the sugar and lime juice and puree until smooth. Scrape puree into bowl and add the diced mango. Sauce may be refrigerated for one week.