Place frozen orange rolls in a 9x13-inch baking pan, cover, and allow to thaw in the refrigerator overnight or for at least 8-10 hours. When thawed, cut each roll into 6 pieces and place in a greased 8x8-inch baking dish. Combine coconut milk and one packet of the orange cream cheese icing that came with the rolls and whisk together until smooth. Pour milk mixture over rolls. Bake in a preheated 350 degree oven for 35 minutes, it will be puffed up and golden brown. If it starts to brown too much, you can loosely tent with a piece of foil for the last 10 minutes of baking.
Meanwhile, prepare the pineapple caramel sauce. Drain canned pineapple and add the juice to a small saucepan. You should have one cup of pineapple juice, but if it's slightly short, it's okay. Stir in the brown sugar until combined. Heat over medium heat and bring to a boil; boil for 10 minutes, stirring occasionally. Remove from heat and stir in the butter and vanilla extract. Stir until butter is melted and caramel is silky smooth.
To toast coconut: Spread coconut out in an even layer on a small cookie sheet. Place in preheated 350 degree oven and cook until lightly browned, stirring once halfway through. This should take around 5 minutes or so. Watch it closely, because once it starts to brown, it darkens really fast.
Serve cobbler warm or at room temperature with vanilla ice cream, pineapple caramel sauce, the canned pineapple chunks and toasted coconut.
Note: If you don't want to serve with pineapple chunks, you can always buy canned pineapple juice instead, without the chunks, and use that for the caramel sauce.