Melt the butter in a saucepan over very high heat. Add the rice. Stir continuously until the rice is very hot (do not allow rice to brown). Add the vanilla bean, rum and water to the pan, and cook until nearly all of the liquid is evaporated.
Add the milk gradually in small amounts, stirring in between additions until the milk is absorbed. It should take about 15 to 18 minutes of stirring to add all the milk and cook the rice.
Once the rice is cooked and all the milk is absorbed, remove the pan from the heat. Add the cream, sugar, orange and lemon zests, and chocolate. Stir well to mix everything and distribute the melted chocolate. Serve immediately.