Preheat the oven to 350 degrees. Prepare a large baking sheet with parchment paper, sprayed with nonstick cooking spray. Set aside.
Place the raisins in a small bowl. Pour the hot water over the raisins and set aside. This will plump the raisins up.
If using thawed Rhodes dinner rolls, combine them into a ball. Then proceed with the this step. On the prepared baking sheet, knead the dough and shape into a 17 inch circle. Tear a hole in the middle of the dough, stretching it out to create a 5 inch opening. Alternatively, you can use a 5 inch biscuit cutter to make the hole. Drain the raisins; set aside. Zest the orange and set aside to use in the next step. This is the zester I like to use to zest citrus fruit. In a medium bowl, mix together the brown sugar, orange zest, pecans, raisins, and rum extract until combined. Spoon the mixture into the middle of the ring shape.
Wrap the dough from the outside of the circle to the inside of the circular shape, pinching the dough together to seal it and tucking the edge under the middle.
Place the baking sheet and a draft free location and allow the bread to rise for 30 minutes.
Bake the king cake for 15 to 20 minutes or until the dough is golden. Play some baking sheet on a wire rack to cool.
To make the glaze: Mix together the powdered sugar, heavy cream, and vanilla until smooth. Pour over the ring allowing some to drip down the sides.
Sprinkle the frosting with the colored sugars, alternating the colors. Prior to serving, insert the baby somewhere under the king cake. Slice and serve.