In a saucepan, combine the whole milk, sugar, and cocoa powder. Heat over medium -low heat, watching closely, and stirring frequently.
Place two egg yolks in a small bowl. Slowly add 1-2 tablespoons of hot milk mixture to yolks, whisking as you put to ensure yolks to scramble (yeesh!). Add another 1-2 tablespoons, whisking as you go. Pour tempered yolks in to a saucepan with remaining milk mixture. Continue to stir over low heat.
Meanwhile, create an ice bath. Fill a large bowl with ice, placing a medium sized bowl within the larger bowl. Fill the larger bowl with water, and the medium bowl with the heavy cream and vanilla. You'll eventually be pouring the milk and yolk mixture in to this bowl, and the goal is to get it as cold as possible, as quickly as possible.
Set a strainer over the medium sized bowl filled with cream and vanilla. Slowly pour the custard (milk and egg mixture) in to the cream. Stir constantly to combine and cool.
Transfer to an ice cream maker, processing according to manufacturers instructions. Before transferring mixture to a separate container to freeze, add about 1/4 cup of the coconut rum fudge sauce to ice cream maker. Stir to combine.
Add coconut and pecans, ensuring thoroughly combined.
Pour 1/4 of the ice cream in to your container, and drizzle coconut rum fudge sauce over the ice cream. Continue to layer ice cream and coconut rum fudge sauce.
Top with coconut and crushed pecans, and freeze until ready to enjoy (if not devoured immediately).