Heat oven to 375°F. Line large cookie sheet with cooking parchment paper. Pat shrimp dry with paper towels. In small bowl, toss shrimp with cream of coconut and rum to coat.
Separate dough into 8 triangles. Cut each triangle lengthwise in half to make 16 triangles. Place 1 shrimp on shortest side of each triangle. Roll up, starting at shortest side and leaving tail sticking out of one side, rolling to opposite point. Place rolls point sides down on cookie sheet.
In small microwavable bowl, mix 2 tablespoons of the preserves with the orange peel. Microwave uncovered on High about 20 seconds or until melted. Brush over each roll. Sprinkle each roll with coconut.
Bake 15 to 18 minutes or until golden brown. In same small microwavable bowl, microwave the remaining 2 tablespoon preserves uncovered on High about 20 seconds or until melted. Spoon evenly over each roll. Cool 5 minutes; remove from pan. Serve warm.