For the crepes: Combine the milk, flour, granulated sugar, salt, eggs and 2 tablespoons of the butter in a blender and blend until smooth, about 20 seconds. Let the batter rest at room temperature for at least 15 minutes before using or transfer to a container with a lid and let rest in the refrigerator for up to 1 day.
For the cinnamon rum sauce: Melt the butter in a small saucepan over medium heat. Stir in the brown sugar, rum and cinnamon and cook, stirring occasionally, until the sugar melts. Stir in 2 tablespoons water and cook a few more minutes. Set aside and keep warm.
For the filling: Combine the cream cheese, cream, confectioners' sugar, vanilla and orange zest in a stand mixer with a whisk attachment and whisk until light and fluffy.
Heat a 10-inch nonstick skillet over medium heat. Lightly brush with some of the remaining melted butter. Add 3 to 4 tablespoons of the crepe batter and swirl the skillet so the batter completely covers the bottom. Cook until the underside of the crepe is golden brown, 2 to 3 minutes. Loosen the edge of the crepe with a rubber spatula, then with your fingertips, quickly flip. Cook 1 minute more. Slide the crepe out of the skillet and repeat with the remaining batter, coating the skillet with butter as needed. Stack the finished crepes directly on top of each other.
Place a crepe on a flat surface with the browner side down. Smear 3 to 4 tablespoons filling across the crepe slightly off center and a few inches from the bottom (facing you), fold the bottom up over the filling and then roll the crepe tightly. Place seam-side down on a plate or platter and repeat with the remaining crepes and filling. Spoon the sauce over the crepes, dust with confectioners' sugar and scatter some orange zest on top. Serve immediately.