Preheat the oven to 350 degrees F.
In a small saucepan, heat the milk and 2 tablespoons of butter together. Using an electric mixer fitted with a wire whip, combine the eggs and sugar together. Beat on medium-high speed for about 8 minutes, or until the mixture is pale yellow, thick and has tripled in volume. With the machine running, slowly add the heated milk and butter.
In a mixing bowl, sift the flour, baking powder and salt together. Fold the flour mixture into the egg mixture and mix thoroughly, so that there are no lumps and the mixture is smooth. Fold in the vanilla.
Grease a half sheet pan with 2 teaspoons of butter. Sprinkle with a tablespoon of sugar.
Pour the cake batter into the pan and bake for about 25 minutes, or until the cakes spring back when touched. Cool for about 2 minutes. Using a thin knife, loosen the edges of the cake and flip onto a wire rack.
In a mixing bowl, whisk the cheese, sugar, vanilla and 2 tablespoons rum. Mix well. Add 2 tablespoons each of the candied citrus and 2 tablespoons of the nuts. Mix well. Fold the whipped cream into the mixture. Mix well. Cut the cake lengthwise into 4 equal pieces. Trim the edges of the cake to fit a 10-inch loaf pan. Brush the tops of each cake with the orange liqueur.
Line the bottom of the loaf pan with parchment paper. Place one piece of the cake on the bottom of the pan. Spread 1/3 of the cheese filling evenly over the piece of cake. Repeat the layering with the remaining cake and cheese filling. Cover with plastic wrap and refrigerate for 2 hours.
Remove from the refrigerator and unmold the cake. Place the cake on a wire rack with a sheet pan underneath. Spread the top and sides of the cake with the sweetened whipped cream. Place the cake in the refrigerator and chill for 1 hour.
In a saucepan, over medium heat, add the chocolate and coffee. Stir until the chocolate is melted. Stir in the 1/2 pound of butter and remaining tablespoon of rum. Mix well. Cool the mixture until it is spreadable. Pour the chocolate frosting over the entire cake. Place the cake back in the refrigerator and chill for 2 hours, until the cake sets. Remove the cake from the refrigerator. Using a long spatula, carefully lift the cake from the rack and place on a serving plate. Garnish with a sprinkle of the remaining nuts and candied citrus. Slice and serve.