Place pineapple rings in a medium bowl. Cover with rum and let soak for at least 1 hour. Drain and reserve rum. Pat pineapple dry.
Place flour and coconut in 2 shallow bowls. In a third shallow bowl, whisk eggs and coconut milk together. Working one at a time, dip pineapple in flour, then egg mixture, then in coconut, pressing to coat.
In a deep, heavy bottom pot, add enough oil to come 1-inch up sides. In batches, add pineapple and fry until golden, 1 minute per side. Remove using a slotted spoon and place on paper towel-lined plate.
In a medium bowl, combine cream cheese and powdered sugar until no lumps remain. Add 2 tablespoons reserved rum and mix to combine. Add more rum as necessary to thin.
Serve fried pineapple rings with sauce for dipping.
Recipe by 5* trending recipes with videos at https://food.theffeed.com/2020/03/09/fried-pina-colada-rings/