1. Combine first 3 ingredients in a small bowl. Add milk, rum, and lemon zest; stir until smooth. Set aside.
2. Melt butter in a large skillet over medium-low heat. Cook 5 minutes, swirling pan until butter just starts to turn golden.
3. Place bananas in butter, cut sides down, and cook 2 minutes. Turn bananas, and cook 1 minute. Divide bananas evenly among 4 serving plates.
4. Pour reserved powdered sugar mixture into same skillet. Increase heat to medium; cook 2 minutes, stirring frequently. Remove pan from heat; stir in pecan halves. Pour sauce evenly over bananas; top with vanilla ice cream, if desired.