Preheat the oven to 350 degrees with racks in the upper and lower thirds. Line two large rimmed baking sheets with parchment paper.
For the cookies: Toss the raisins in the warm rum or water and let soak at least 10 minutes then drain.
Whisk the flour, baking soda, baking powder, cinnamon, allspice and salt together in a medium bowl.
Beat the butter, brown sugar and granulated sugar together in a large bowl with an electric mixer until light and fluffy. Beat in the eggs and then the vanilla. Add the flour mixture and beat until just incorporated. Stir in the oats, walnuts and the drained raisins.
Scoop rounded tablespoons of the batter onto the prepared baking sheets, about 2-inches apart. Bake, rotating the position of the pans halfway through, until golden brown around the edges, about 14 minutes. Cool on the pan for 5 minutes then transfer to a rack to cool completely.
For the filling: Add the cream cheese and butter to a large bowl. Use a hand mixer to cream them together. Gradually add the powdered sugar, while mixing, scraping down the bowl as necessary. Once incorporated, add the vanilla and beat to incorporate. Fold in the shredded coconut by hand.
To assemble cookie sandwiches: Scoop a tablespoon of filling onto the flat side of a cookie. Take another cookie and place it on top of the filling, flat side-down, to create a sandwich. Continue with the remaining cookies and filling. Wrap and refrigerate until ready to serve.