In a medium saucepan, add rum and vanilla bean. Heat over medium-high heat until reduced to about 2 tablespoons, 3 to 5 minutes.
Add the chicken stock, cream, and coconut milk and gently whisk to combine. Heat over medium-high heat and allow the mixture to reduce to about 1 cup, whisking continuously, about 15 minutes. The sauce should be thick enough to coat the back of a spoon and not too runny.
Turn off heat and carefully remove the vanilla bean from the sauce. Scrape seeds out of the vanilla pod and whisk into the sauce. Season with salt to taste. Rewarm the sauce before serving with the Mahi Mahi.
Seared Mahi Mahi
Season both sides of the Mahi Mahi fillets with salt and pepper.
In a large frying pan, heat the olive oil over medium-high heat until hot. Carefully add the Mahi Mahi to the pan and sear the fillets until they are golden brown, about 3 to 4 minutes.
Flip and cook an additional 3-4 minutes, until the flesh is opaque. Transfer to a serving plate and serve with warmed vanilla sauce.