In A Heavy, medium saucepan, combine the milk and rice. Scrape in the seeds from the vanilla bean and add the bean. Bring the milk to a boil. Reduce the heat to medium and simmer, stirring frequently, until the rice is tender, about 25 minutes. Stir in the sugar, rum, and orange zest. Cook until the mixture thickens, about 10 minutes longer. Discard the vanilla bean and spoon the rice pudding into bowls. Cover and refrigerate until the pudding is cold, about 5 hours and up to 1 day ahead. Serve with orange segments.