Combine the milk and rice in a heavy medium saucepan. Scrape in the seeds from the vanilla bean; add the bean. Bring the milk to a boil. Reduce the heat to medium and simmer until the rice is tender, stirring frequently, about 25 minutes. Mix in the sugar, rum, and orange peel. Discard the vanilla bean. Cook until the mixture thickens, 5 to10 minutes longer.
Spoon the rice pudding into bowls. Cover and refrigerate until cold, about 5 hours. Serve with orange segments.