In a saucepan, heat the milk and add the scraped vanilla bean. Let it infuse for a few minutes.
Meanwhile, whisk the eggs with the sugar and salt. Add the sifted flour and mix.
Then, add the melted butter and mix again. Slowly pour in the warm milk while stirring, then add the rum. Cover the batter and refrigerate overnight.
The next day, generously butter your cannelé molds and fill them with batter, leaving about ¼ inch (0.5 cm) at the top to allow for rising.
Preheat your oven to 400°F / 200°C and bake for 10 minutes. Then, reduce the temperature to 375°F / 195°C and bake for another 45 minutes. Let them get lukewarm before unmolding.
In a very cold mixing bowl (place it in the freezer or fridge for 10 minutes beforehand), whisk the heavy cream with the mascarpone, vanilla bean, and powdered sugar. Whip until you get a smooth, fluffy consistency.
Flip the cannelés upside down and hollow out the center. Pipe the vanilla cream inside and on top, mimicking a soft-serve ice cream swirl.
