1. Prepare grill.
2. Coat pineapple with cooking spray. Place on grill rack; cover and grill 6 minutes on each side or until golden and tender.
3. Microwave hot fudge topping in a small glass bowl at HIGH 30 seconds or until drizzling consistency.
4. Place each pineapple slice on a dessert plate; spoon 1/4 cup frozen yogurt into center of each pineapple ring. Top each with 1 tablespoon hot fudge topping, 1 teaspoon rum, and 1 tablespoon coconut.