Place chicken thighs in non-metallic dish or resealable plastic bag. Set aside.
To make marinade, place juices, soy sauce, Worcestershire, sugar, zest, garlic and cayenne in sauce pan over medium heat. Stir to combine. Heat and stir 4 to 5 minutes or until sugar has dissolved. Remove from heat and whisk in rum and oil. Set aside to cool. When cool, stir in cilantro and pour mixture over thighs. Cover or seal bag and refrigerate 2 to 3 hours, or overnight. Turn chicken occasionally while marinating.
Preheat grill and lightly coat grill rack with oil or cooking spray.
Remove chicken from marinade and place marinade in sauce pan. Heat marinade to boiling, reduce heat and add butter. Simmer 5 minutes. Divide sauce, reserving half for basting chicken when grilling and half for serving.
Place chicken on prepared grill 4 to 6 inches from heat source. Grill over medium heat 8 to 10 minutes, turning and basting often. Continue grilling an additional 8 to 10 minutes without basting, until glazed and chicken reaches 170° F on meat thermometer. Juices should run clear when chicken is pierced with fork. Discard any remaining basting sauce.
To serve, place chicken on platter, garnish with lime wedges and cilantro, if desired, and serve with reserved sauce.